under 5.6.0, this works:

my $mysub = do {
    my $myvar;
    eval 'return sub : lvalue { $myvar }';
};

$mysub->() = 42;

print $mysub->(), $/;
[download]

Outputs:

42

as i've heard many times before, the new features in 5.6.0 are a buggy area at times. this seems to be an inconsistency that should be checked, or submitted as a bug.