I got 2.4.6 for PDL version and I was able to use perldl shell

It would still be a good idea to check on the implications of that final error you got (on the PDL maiking list) .... unless someone here provides advice about that.

Do you have any suggestion on how I can fix my CPAN

I haven't been able to get my head around what's going on there, and I don't know much about the CPAN shell anyway.
As an alternative to actually entering into the CPAN shell, you could just run cpan -i module but I expect that will give you the same results. See if you can work out which perl your cpan shell is attached to - if your version of CPAN allows it, do a force install of Astro::FITS::Header (cpan -fi Astro::FITS::Header) and take note of the paths into which it installs.
Remove ActivePerl from the system path, then open a fresh Cygwin bash shell and see if that makes any difference.

Then, if you still have issues with the CPAN shell, I'd start a fresh thread here about that. (But the more information you can provide about precisely what's going wrong, the better our chances of solving it.)

Cheers,
Rob