Odd. Here's what happens with Ubuntu and 5.8.7:

ww@GIG:~$ perl -v

This is perl, v5.8.7 built for i486-linux-gnu-thread-multi
(with 1 registered patch, see perl -V for more detail)
[download]

OP's cut'n'pasted oneliner:

ww@GIG:~$ perl -e 'use warnings FATAL => qw(all); eval { open(CMD, "_b
+ad_e xe_ a b c|") or die "open failed: $!\n" }; if($@){ die "ERROR: $
+@" }; print "HOW  DID I GET HERE?\n"; while(<CMD>){}'
ERROR: Can't exec "_bad_exe_": No such file or directory at -e line 1.
HOW DID I GET HERE?
ww@GIG:~$
[download]