Does 'last' officially not work with single-line while loops like the above?

From Statement Modifiers in perlsyn:

Note also that the loop control statements described later will *NOT* work in this construct, because modifiers don't take loop labels. Sorry. You can always put another block inside of it (for "next") or around it (for "last") to do that sort of thing.   [examples follow]

Are single-line while loops like the one above considered bad programming practice in general?

Not by me. "Statement modifiers" can, in general, be quite useful IMHO.

Update:

Shouldn't my single-line while loop with 'last' be flagged at least as a warning, given that the last statement doesn't apply to the loop it is used within?

Again IMHO, last is clearly block-oriented and should not elicit a warning.

Is there any higher level of warning that can be enabled to catch things like this?

Not to my knowledge. Maybe see perltidy.