Do binary installations of SDL include the headers?

Only if you get the Development Libraries ofcourse

C:\DEV\SDL_PERL\SDL-DEVEL-1.2.8-VC6
\---SDL-1.2.8
    +---docs
    |   \---html
    +---include
    \---lib
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As you know, the build will fail without headers.

Yes, and the user will get a nice error message saying that SDL.h... can't be found. The user is ultimately responsible for managing those.

If you can show me a sane way to find the headers

use File::Spec;
for my $inc ( @include_dirs ){
    if( -e File::Spec->catfile( $inc, 'SDL.h' ){
        die "Congratulation, you've got  SDL.h";
    }
}
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