s/\\u(\w{4})/eval "\"\\x{$1}\""/ge;

Really? String eval and \w?

• You only want hex digits, not arbitary characters after \u.
• To make a character from a number written in hexadecimal, convert the number to decimal using hex, then convert that number to a character using chr. No need to torture perl with a string eval.

$_= 'Compruebe si las direcciones URL que encontr\u00e9 en el archivo 
+de configuraci\u00f3n son v\u00e1lidos';
s/\\u([0-9a-fA-F]{4})/chr hex $1/ge;
print;
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Alexander