You can't create a new empty object and add data to it.

Sure you can

#!/usr/bin/perl --
use strict;
use warnings;
use MIME::Lite;
my $msg = MIME::Lite->new; ## no data
$msg->build( qw/ to you from me Data Data1 /); ## data
$msg->build( qw/ subject SUBJECT  /)->data('Data2'); ## data
$msg->attach( qw/ Data DATA3 /); ## data
$msg->print;
__END__
Content-Transfer-Encoding: 7bit
Content-Type: multipart/mixed; boundary="_----------=_150136405630120"
MIME-Version: 1.0
Date: Sat, 29 Jul 2017 14:34:16 -0700
To: you
From: me
Date: Sat, 29 Jul 2017 14:34:16 -0700
Subject: SUBJECT
X-Mailer: MIME::Lite 3.029 (F2.84; T2.04; A2.12; B3.14; Q3.13)

This is a multi-part message in MIME format.

--_----------=_150136405630120
Content-Disposition: inline
Content-Transfer-Encoding: 8bit
Content-Type: text/plain

Data2
--_----------=_150136405630120
Content-Disposition: inline
Content-Transfer-Encoding: 8bit
Content-Type: text/plain

DATA3
--_----------=_150136405630120--
[download]

Aha! There's the issue:

% diff foo.pl bar.pl 
7c7
< $msg->build(subject => 'a message subject')->data('Data2');
---
> $msg->build(subject => 'a message subject');

foo.pl -> 0
bar.pl -> 1
[download]

Why is the ->data() required?