Interesting addition:
With the following code:

use strict;
use warnings;

my $teststring = qq/Hello# World/;

my $regex1 = qr{\QHello# World\E}x;
my $regex2 = qr{Hello\#\ World}x;
my $regex3 = qr{$teststring}x;
my $regex4 = qr{\Q$teststring\E}x;

print "String is $teststring\n";
print "Regex1 is $regex1\n";
print "Regex2 is $regex2\n";
print "Regex3 is $regex3\n";
print "Regex4 is $regex4\n";
[download]

I get the following output (perl 5.12.1):

String is Hello# World
Regex1 is (?x-ism:Hello\#\ World\\E)
Regex2 is (?x-ism:Hello\#\ World)
Regex3 is (?x-ism:Hello# World
)
Regex4 is (?x-ism:Hello\#\ World)
[download]

For regex3, the newline is inserted by the qr directive, as verified by a hex dump of the file.

UPDATE:
Output from perl 5.8.9:

$ perl8 regex.pl
String is Hello# World
Regex1 is (?x-ism:Hello\#\ World\\E
)
Regex2 is (?x-ism:Hello\#\ World
)
Regex3 is (?x-ism:Hello# World
)
Regex4 is (?x-ism:Hello\#\ World
)
[download]

Output from perl 5.10.1:

$ perl10 regex.pl
String is Hello# World
Regex1 is (?x-ism:Hello\#\ World\\E)
Regex2 is (?x-ism:Hello\#\ World)
Regex3 is (?x-ism:Hello# World
)
Regex4 is (?x-ism:Hello\#\ World)
[download]

So, it looks like there may be an edge case that was partially fixed.

UPDATE 2: clarified that initial tests were on 5.12.1
This is perl 5, version 12, subversion 1 (v5.12.1) built for x86_64-linux-thread-multi-ld
This is perl, v5.10.1 (*) built for x86_64-linux-thread-multi-ld
This is perl, v5.8.9 built for x86_64-linux-thread-multi-ld