Just for fun, let's come at this from another direction. Your test would more accurately read:

print "undef evaluates as zero 
       in a numerical context" if (undef == 0);
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It was not $a (equaling zero) which was coerced to equal undef. Just the opposite. It was the undef that, in a numerical context (occasioned by the '==' test), was coerced into being taken as zero.

Further evidence of what Perl is doing can be obtained by running with -w in your hash-bang line. Perl will complain: Use of uninitialized value in numeric eq (==) at myprog.pl line 4. and then do its best to render an acceptable result by treating the undef as zero and concluding that the test succeeds.

HTH