Why is in documentation of IO::Socket::SSL that I can set SSL_version to SSLv3 and when I do so, I get error that this version is not supported?

As you have provided neither an SSCCE nor the version of IO::Socket::SSL which you are using it's pretty much impossible to say. Here's a counterexample though:

#!/usr/bin/env perl 
use strict;
use warnings;
use IO::Socket::SSL;

print "IO::Socket::SSL version $IO::Socket::SSL::VERSION\n";

for my $proto ('SSLv3', 'TLSv1_2') {
    my $ssl = IO::Socket::SSL->new (
        PeerHost => 'perlmonks.pairsite.com',
        PeerPort => 443,
        SSL_version => $proto
    );

    print "SSL connection with $proto " .
        ($ssl ? 'set up' : 'failed') . "\n";
}
[download]

Which when run by me produces:

IO::Socket::SSL version 2.012
SSL connection with SSLv3 failed
SSL connection with TLSv1_2 set up
[download]

Try it and see how you get on. Note that the results of this help to illustrate that no secure site is going to support SSLv3 these days anyway so the purpose of specifying it in the first place is a little suspect.