I'm wondering if 'last' is redundant if the call to the subroutine msg includes an 'exit'.

In the small snippet you've shown, and assuming that it's not an extract from a larger program, it wouldn't take too long for a reader with basic Perl skills to untangle what you mean, though they might puzzle over why you wrote "last;" instead of "exit;", and therein lies a problem: Whenever you leave something in your code that a later reader is going to puzzle over, you increase the risk of them breaking the code if they have to change it.

A cleaner way to handle this, as previously mentioned, is to lift the "exit;" out of msg(), and either replace the "last;" with "exit;" or put the exit at the bottom of the loop. Either of these removes a source of confusion.

Consider how unambiguous it is to write:

my @array = qw(hey hello yes no key dog cat);

foreach (@array) {
   if (/key/) {
     msg('Yes, key found');
     exit;
   }
 }

sub msg {
  my ($msg) = @_;
  print "$msg\n";
}
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There's no mistaking your intent.