My bad :-( I did an rtfm on the docs in Alien::Gnuplot and discovered two environment variables that can and should be set in zsh, to wit:

  GNUPLOT_BINARY=/opt/local/bin/gnuplot
  GNUPLOT_INTERACTIVE=1   # to enable interactive tests
  GNUTERM=x11

I then ran 'make test' in the Alien::Gnuplot build directory and got these results:

Click in the X11 window for mouse test.
t/plot.t ............. 135/? lot to continue...
#   Failed test 'Mouse test read a click'
#   at t/plot.t line 638.
#          got: 'read_mouse: string Key: 1 at xy: 1.440036900369 , 8.8
+0252100840336 shift: 0 alt: 0 ctrl: 0 doesn't look right - doesn't ma
+tch parse regexp.
#  at /Users/wills/.cpanm/work/1691895761.64888/PDL-Graphics-Gnuplot-2
+.024/blib/lib/PDL/Graphics/Gnuplot.pm line 4481, <STDIN> line 15.
#     PDL::Graphics::Gnuplot::read_mouse(PDL::Graphics::Gnuplot=HASH(0
+x7fe90334bc58)) called at t/plot.t line 637
#     eval {...} called at t/plot.t line 637
# '
#     expected: ''
t/plot.t ............. 137/? Gnuplot warning: empty y range [0:0], adj
+usting to [-1:1]
 at t/plot.t line 819.
INFO: Plotting to 'Plot-1.txt'
 at t/plot.t line 911.
INFO: Plotting to 'Plot-2.txt'
 at t/plot.t line 914.
# Looks like you failed 1 test of 192.
t/plot.t ............. Failed 1/192 subtests 
    (less 4 skipped subtests: 187 okay)

Test Summary Report
-------------------
t/plot.t           (Wstat: 0 Tests: 192 Failed: 1)
  Failed test:  135
Files=3, Tests=197, 123 wallclock secs ( 0.05 usr  0.01 sys +  8.36 cu
+sr  2.67 csys = 11.09 CPU)
Result: FAIL
Failed 1/3 test programs. 1/197 subtests failed.
make: *** [test_dynamic] Error 22
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Not sure what the issue is with my mouse, a Logitech 2-button USB wireless with a scroll wheel. I think it is probably safe to install this module. And finally, running that sin.pl script I referenced in my original post does execute an XQuartz plot with only this harmless warning:

Trying gnuplot (PDL::Graphics::Gnuplot)...ok
Use of uninitialized value in string eq at /Users/wills/perl5/perlbrew
+/perls/perl-5.36.1/lib/site_perl/5.36.1/PDL/Graphics/Gnuplot.pm line 
+7494.
[download]