Agreed. And under normal code conditions it does.

{ my $x; { local $x = 1 } };
Can't localize lexical variable $x at (eval 2) line 1, <> line 3.
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Putting my "guess the reason" hat on, I could be that they try to keep the regex engine fast and so the error reporting from code blocks in regexes is lighter than elsewhere. Alternatively, it could be just that noone has raised the perlbug to casue it to get fixed yet.