An easy support for n level depth can be afforded following merlyn's Recursively walk a hash to get to an element:

sub pointer_to_element {
  require List::Util;
  return List::Util::reduce(sub { \($$a->{$b}) }, \shift, @_);
}
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which allows you to write (untested!!!):

while(<DATA>) {
        chomp;
        my @chunks = split /\:/;
        next unless @chunks > 1; # At least one key, please
        my $value = pop @chunks;
        push @{ pointer_to_element($DATA, @chunks) }, $value;
}
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