I suspect something is awry with your setup. I just ran cpanm --look Compress::Raw::Zlib using Strawberry Perl 5.38.2.2 and the build and test worked without issue.

If you are using the portable version then have you run the portableshell.bat that lives in the top of the Strawberry Perl directory? If you installed using the MSI then does the path include .../perl/bin, .../c/bin and .../perl/site/bin?

Edit:

The issue with Statistics::R is related to the removal of dot-in-inc in perl 5.26: https://metacpan.org/release/XSAWYERX/perl-5.26.0/view/pod/perldelta.pod#Notice.

It can be built manually using this sequence (uncomment the last line to install):

cpanm --look Statistics::R
perl -I. Makefile.PL
gmake test
::gmake install
[download]

One of the tests fails on my system but it seems to be due to buffering of messages to stderr. I have not looked further.

t/03-run.t ......... 4/? # R version 4.1.0 found at C:\Program Files\R
+\R-4.1.0\bin\x64\R.EXE

#   Failed test 'IO'
#   at t/03-run.t line 53.
#          got: ''
#     expected: 'Some innocuous message on stderr'

#   Failed test at t/03-run.t line 56.
#          got: 'Some innocuous message on stderrSome innocuous messag
+e on stdout'
#     expected: 'Some innocuous message on stdout'
# Looks like you failed 2 tests of 21.
t/03-run.t ......... Dubious, test returned 2 (wstat 512, 0x200)
Failed 2/21 subtests
[download]

(Edit2 - maybe it's not dot-in-inc since cpan testers has it passing on linux for later versions, nonetheless the above works with Strawberry Perl).