I have the same problem on Windows Strawberry Perl. Unfortunately I found only one way to make it work - patch perl5db.pl

$ diff perl5db.pl.old perl5db.pl.new
1238c1238
<     $rcfile = ((-e $dev_tty) ? ".perldb" : "perldb.ini");
---
>     $rcfile = ".perldb";
1289c1289,1291
<     return 0 if $mode & 022;
---
>     if( $^O ne 'MSWin32' ) {
>         return 0 if $mode & 022;
>     }
1299a1302,1305
> elsif ( defined $ENV{HOMEDRIVE} && defined $ENV{HOMEPATH} && -f "$EN
+V{HOMEDRIVE}$ENV{HOMEPATH}/$rcfile" ) {
>     safe_do("$ENV{HOMEDRIVE}$ENV{HOMEPATH}/$rcfile");
> }
>
[download]

I like more unix name ".perldb" instead of "perldb.ini". Also I have set "$ENV{HOMEDRIVE}$ENV{HOMEPATH}" rather than "$ENV{HOME}". Also I changed logic about file permission for Windows platform.