While .SCR files are indeed just .EXE files with a funny name, they must not implement a normal Windows event loop. Instead, they must use certain Windows APIs to just handle certain screensaver-related messages, and the real event loop is inside Windows. Screen savers act more like .DLLs filled with callbacks, than executable applications which form a whole event loop.

Unfortunately, this also implies certain limitations when using other Windows constructs, and may make it hard to embed a Perl interpreter. I'm not saying it can't be done, I am saying that I expect there would be some interesting learning required to make it work 95% of the time...