Add the -id option to your MenuItems. In the code below, with -id commented out, the program behaves as you described, with the added bug of reversing the order of Database Setup and Exit. If the -id lines are uncommented, then the program behaves properly.

use strict;
use warnings;
use Win32::GUI;

my $next_menu_id = 1;

my $menuMW = Win32::GUI::Menu->new();

my $btnMenu = $menuMW->AddMenuButton( 
    -text    => 'Configuration',
#    -id      => $next_menu_id++,
);

my $itmDBSetup = $btnMenu->AddMenuItem(
    -text    => 'Database Setup',
#    -id      => $next_menu_id++,
    -onClick => sub {
        print "I'm the first OnClick!\n";
    },
);

my $itmQuit = $btnMenu->AddMenuItem(
    -text    => 'Exit',
#    -id      => $next_menu_id++,
    -onClick => sub {
        print "I'm the second OnClick, and I Quit!\n";
        return -1;
    },
);

my $MainWindow = GUI::Window->new(
    -text => 'Main',
    -name => 'MainWindow',
    -pos  => [  10,  10 ],
    -size => [ 900, 900 ],
    -menu => $menuMW,
);

$MainWindow->Show();

Win32::GUI::Dialog();

sub MainWindow_Terminate {
    return -1;
}
[download]

Yet Another (better, but woefully underdocumented) Way To Do It:

use strict;
use warnings;
use Win32::GUI;

# Adapted from:
#  http://www.perlmonks.org/index.pl?node_id=18472

my $menuMW = Win32::GUI::Menu->new(
    '&Configuration'     => 'Config',
    ' > &Database Setup' => 'DB_Setup',
    ' > E&xit'           => 'Exit',
    'Second&TopLevel'    => 'STL',
    ' > &foo'            => 'Foo',
    ' > &bar'            => 'Bar',
);

my $MainWindow = GUI::Window->new(
    -text => 'Main',
    -name => 'MainWindow',
    -pos  => [  10,  10 ],
    -size => [ 900, 900 ],
    -menu => $menuMW,
);

$MainWindow->Show();

Win32::GUI::Dialog();

sub MainWindow_Terminate {
    return -1;
}
sub DB_Setup_Click {
    print "DB_Setup.\n";
#    displayDlgDBSetup( $MainWindow );
}
sub Exit_Click {
    print "I am exiting via the 'Exit' menu option.\n";
    return -1;
}
sub Foo_Click { print "Foo.\n"; }
sub Bar_Click { print "Bar.\n"; }
[download]

Using this method, Win32::GUI::Menu internally calls MakeMenu, which automatically handles assigning -id. You cannot use OnClick with this method, though; you must use FOO_Click event procedures.