With ActiveState perl 5.8.4 on Win and Slackware's 5.8.0 and 5.8.4, your code produces the same results: the warn statements go to main::STDOUT, and the print statement produces an error on main::STDOUT.

From perldoc -f print:

... If FILEHANDLE is omitted, prints by default to standard output (or to the last selected output channel--see "select"). ...

So I added some debugging statements like so:

$fh = select;
print("currently selected FILEHANDLE:$fh\n");
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which gives:

#2: warning at C:\warntest.pl line 16.
#4: warning at C:\warntest.pl line 28.
currently selected FILEHANDLE: main::STDOUT
#4: STDOUT is open
currently selected FILEHANDLE: main::STDOUT
print() on closed filehandle STDERR at C:\warntest.pl line 34.
currently selected FILEHANDLE: main::STDOUT
#4: warning at C:\warntest.pl line 37.
currently selected FILEHANDLE: main::STDOUT
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Hope this helps.