AFIK you can't use the warnings pragma to achieve the same, because its, as you already said, doesn't effect other scopes. Even the funny idea to do

# Inside your script:
package Cache::Memcached;
use warnings FATAL => 'all';

package main;
[...]
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would help :-)

Just use the handler. This is also mentioned in the perldoc page of eval. Please don't forget to use the local statement to make the handler local to your closure:

my $stats = eval {
    local $SIG{'__WARN__'} = sub { die };
    $memd->stats();
}
if ($@) {
    # No stats!!
    [...]
}
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I also would remove the argument to die as long you don't want the warning message, which is now the error message, printed. Normally you do a warn $@ if $@ or similar.