You are asking DBI what drivers it knows about.   You are then asking each driver what data sources it knows about.   But to ask each driver for that information, DBI has to load the module for each driver.   At that point you discovered that DBD::Proxy had some dependencies you hadn't installed yet.   As jasonk said, this isn't really a problem unless you _really_ wanted to use the Proxy driver.

I added a couple lines to your code to skip trying to load module DBD::Proxy and ran the loops to completion:

    print "driver:\t$driver\n";
    if( $driver eq 'Proxy' ) {
        print "  skipping polling DSN's for Proxy driver.\n";
        next;
    }
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The output (on my system) was:

driver: CSV
dsn:    DBI:CSV:f_dir=test1
driver: Chart
driver: ExampleP
dsn:    dbi:ExampleP:dir=.
driver: File
dsn:    DBI:File:f_dir=test1
driver: ODBC
dsn:    DBI:ODBC:dBASE Files
dsn:    DBI:ODBC:Excel Files
dsn:    DBI:ODBC:MS Access Database
driver: Proxy
  skipping polling DSN's for Proxy driver.
driver: SQLite
driver: mysql
dsn:    DBI:mysql:mysql
dsn:    DBI:mysql:mytest
dsn:    DBI:mysql:test