Just for support, the following behaves the same under ActiveState 5.8.9 and Strawberry 5.14.4:

c:\@Work\Perl>perl -wMstrict -le
"print qq{perl version $]};
 ;;
 my %h = qw(foo ZOT);
 ;;
 $_ = 'foo';
 ;;
 print qq{before rx: '$_'};
 my $rx = qr{ \A \s* (??{ print qq{in rx: '$_'};  $_; }) }xms;
 ;;
 print qq{before match: '$_'};
 print 'match' if $h{'foo'} =~ $rx;
 print qq{after match; '$_'};
"
perl version 5.008009
before rx: 'foo'
before match: 'foo'
in rx: 'ZOT'
match
after match; 'foo'
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And no, I've never encountered this behavior, either (but neither have I looked for it).