I'd refactor the loop to eliminate the goto, the label, most of the nesting, and to make the intent a little clearer:

foreach my $i (0..$maxclients-1) {
    $selected[$i] = $weighteddiv[int rand @weighteddiv];
    next if $i == 0;

    # Check for duplicates
    redo if grep {$selected[$i] == $selected[$_]} 0 .. $i-1;
}
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Update: s/next if/last if/ - bug pointed out by TimToady

Update: removed while loop - issue pointed out by TimToady
fixed bug due to next in foreach modified statement
fixed domain for rand - issue pointed out by TimToady