One minor nuisance where warn+newline does not work the same as print+newline is when using CGI::Carp. Here's an example on my bash shell:

justin:~ $ perl -MCGI::Carp -e '
warn "Warning with newline\n";
carp "Carp with newline\n";
print STDERR "Print with newline\n"'
[Thu Feb 26 17:53:00 2009] -e: Warning with newline
[Thu Feb 26 17:53:00 2009] -e: Carp with newline
[Thu Feb 26 17:53:00 2009] -e:  at -e line 3
Print with newline
justin:~ $
[download]

When I was trying to print some debugging messages using warn+newline the timestamps got a little spammy.

BTW, carp and croak will append the line number that called them even if you end the message with a newline, unlike warn and die.