Why this code can't get the second match ...

Because the  /g modifier in scalar context (which is supplied by evaluating the match as part of an  if or  while condition expression) will cause an  m//g match to match only once per evaluation. The  if block only executes once if the condition is true. The  while block continues to execute until the conditional is no longer true.

c:\@Work\Perl\monks>perl -wMstrict -le
"my $s = qq{foo <u> match \n the first </u> bar <u> second \n match </
+u> baz};
 print qq{[[$s]] \n};
 ;;
 if ($s =~ m{ <u> (.*?) </u> }xmsg) {
   print qq{if: '$1'};
   }
 print '';
 ;;
 pos $s = 0;
 while ($s =~ m{ <u> (.*?) </u> }xmsg) {
   print qq{while: '$1'};
   }
"
[[foo <u> match
 the first </u> bar <u> second
 match </u> baz]]

if: ' match
 the first '

while: ' match
 the first '
while: ' second
 match '
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Note: The  pos $s = 0; statement is needed in the example because each string keeps track of its own match position, and that match position is used in  /g matching. Try eliminating the statement from the code and see what happens. Also try printing pos at various strategic points in execution.

Update: Also look in Regexp Quote-Like Operators in perlop for discussion of  m/PATTERN/msixpodualgc and look for the phrase 'In scalar context, each execution of "m//g" ...'     (Update: See also Global matching in perlretut.)