The warning about staying shared is an issue with named subs only. (See diagnostics)
The solution is easy: don't use named subs as closures.

# First solution: Put coderefs in scalars and use those
my $start = sub { ... };
my $p = HTTP::Parser->new(
    ...,
    start_h => [ $start, ... ],
    ...
);

# Second solution: Use coderefs, but don't use scalars to hold them
my $p = HTTP::Parser->new(
    ...,
    start_h => [ sub {
        ... # code here
    }, ... ],
    end_h => [ sub {
        ... # code here
    }, ... ],
    ...
);
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HTH.

P.S. Maybe HTML::TokeParser is better for this job.

2;0 juerd@ouranos:~$ perl -e'undef christmas'
Segmentation fault
2;139 juerd@ouranos:~$
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