Wow, I was really sure I did see this broken on Windows, but you're right, it does work.

What really *doesn't* happen is this name being propagated to the process list (either ctrl-shift-esc or ps if using Cygwin). Apparently the Windows kernel doesn't honor changing $0 with the same method perl does it on unix.

Now that I see I was wrong, I looked this up in perlvar:

On some (read: not all) operating systems assigning
to $0 modifies the argument area that the "ps" program sees. 
On some platforms you may have to use special "ps" options
or a different "ps" to see the changes.  Modifying the $0
is more useful as a way of indicating the current program
state than it is for hiding the program you're running.
[download]

I stand corrected!