"And I would say that most recent languages now come with regular expressions (they may have learned from Perl!); "

Yes, they learned, and still learning. I cannot say for other languages, but with Perl in my mind, when I looked at Java's, I was far from satisfied.

This came to my mind, as there are things I would not like to implement in Perl due to various reasons, but still want regexp that is as powerful as Perl's...

You are right about the performance... Obviously it would be faster to use native regexp ability of the language than to make socket call, unless the regexp in that language has a very poor performance. But if the regexp in other languages cannot deliver what you want, then performance becomes second, and you first want to be able to do it.

Also I expect the call to the server is limited. Put in this way, if a program heavily uses regexp, then I would rather do it in Perl, not something like Java or .Net, thus no call is needed. For those applications left for Java or .Net, regexp is usually not the sole part of it, and you expect only limited calls, the performance impact should be low.