To the best of my knowledge, the #! line on a Windows NT script does nothing.

That's not quite true. In Windows, perl checks the #! line for options. For example, #!/usr/bin/perl -w will turn on warnings. However, everything else you said applies because the path itself is not used. In other words, there's nothing wrong in putting #!/usr/bin/perl in the Windows versions of your scripts, because neither Windows nor perl uses that part of the #! line.