YES!!! My intuition was right again. :) Here it is, that bug with goto:

perl -e '
BEGIN {
  *CORE::GLOBAL::exit = sub {
    goto FASTCGI_NEXT_REQUEST;
  };
}
while (1) {
  eval { that_cgi_script() };
 FASTCGI_NEXT_REQUEST:
  last;
}

sub that_cgi_script {
  local $SIG{__DIE__} = sub { print "<p>error: $_[0]"; exit; print "XX
+X\n" };
  print "before buggy code\n";
  eval { buggy_code() };
  print "after buggy code\n";
}
sub buggy_code {
  die "error!";
  print "after die\n";
}
'
[download]

This example output:

before buggy code
<p>error: error! at -e line 20.
after buggy code

i.e. goto doesn't work as expected, and execution continue after eval. Actually exit in $SIG{__DIE__} handler work like return - because "print "XXX"" doesn't executed.

I've found a workaround for this bug. In BEGIN block must be added no-op handler for CORE::GLOBAL::die (which just emulate how perl's handler work):

  *CORE::GLOBAL::die = sub {
    if ($SIG{__DIE__}) {
      my $s = $_[0];
      $s .= sprintf " at %s line %d.\n", (caller)[1,2] if $s !~ /\n\z/
+;
      $SIG{__DIE__}->($s);
    }
  };
[download]

and now this example work correctly and output:

before buggy code
<p>error: error! at -e line 27.

Sadly, but I'm not ready to explain, why adding that handler force goto to work correctly. :( Probably it's because my handler isn't work exactly like perl's handler. But I run a lot of different tests, and my handler work exactly like perl default handler for all tests except example shown above.