Sounds like you got confused between multi-column foreign keys and multiple foreign keys in one table. Class::DBI does not support the former, although not for any special reason -- it simply hasn't been built yet.
Comment on Re: Class::DBI and multiple foreign keys
It's quite possible that because one of my clients needs MCFK support that they'll be funding me to complete this (perhaps even in the next few weeks), and of course make the result open-source in the CPAN. Yeay!