The Why

It behaves this way to avoid misleading error messages. Imagine that use Env; did what you want.

>perl -le "use strict; use Env; print $CONFIG;"
Global symbol "$CONFIG" requires explicit package name
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You should give a better error message or use a default when the variable isn't specified.

Workarounds

Just specify the variables you wish to import.

>perl -le "use strict; use Env qw( $WINDIR ); print $WINDIR;"
E:\WINNT
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Or declare the variable.

>perl -le "use strict; use Env; our $WINDIR; print $WINDIR;"
E:\WINNT
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Of course, there's always $ENV{WINDIR}.

>perl -le "use strict; print $ENV{WINDIR};"
E:\WINNT
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Update: Added the reason for this behaviour.