In order for your retry function to report its status back to the window, you'll need to give it a callback function, or simply pass a reference to the window itself. Assuming retry is called from, say a button push, then you could pass $fr1 to it as a parameter, e.g.

retry($ua, $url, $fr1);
...
sub retry { # Retry downloading page in case of failure
    my $ua=shift;
    my $url=shift;
    for (my $i=1; $i<101; $i++) {
        sleep 5; # Delay
        my $request= $ua->request(GET "$url");
        return $request if ($request->is_success);
        $fr1->Label(-text=>'Download failed: ' . $request->status_line
+, -background=>'yellow', -foreground=>'red')->pack(-fill=>'y'); 

.....
[download]

NOTE: untested.

You get the idea. Any object you can pass to retry you can mess with in the function itself.

However I would prefer passing retry a code reference which it can call with a status message. That way, it could report its status to anything; a GUI, a Curses interface, etc, depending on what that callback sub does.