It can be made safer by escaping this case.

print <<"_END_";
It works!
\_END_
It really does.
_END_
[download]

which prints:

It works!
_END_
It really does.

It works because apparently you can escape underscores with a backslash, and still have them as just a backslash. If you don't trust this perl feature — I can't say I've seen it documented anywhere, you might feel safer using something else as a delimiter, something that actually starts with a \W character, like "*END*".

print <<"*END*";
It works!
\*END*
It really does.
*END*
[download]

There isn't even a need to try and find something uniqueish. A plain "*" will do. The complete code can then become:

$with =~ s/^\*$/\\*/mg;
s{$this}{
  my $r = eval qq[<<"*"\n$with\n*\n];
  die $@ if $@;
  chop $r;
  $r;
}eg;
[download]