You have two captures, so you'll two results. You need two steps.

my ($days) = /BYDAY=([A-Z]+(?:,[A-Z]+)*);/;
my @days = split(/,/, $days);
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Same, as one expression:

my @days = split(/,/, ( /BYDAY=([A-Z]+(?:,[A-Z]+)*);/ )[0]);
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Going the other way, a more generic parser:

$_ = 'FREQ=WEEKLY;BYDAY=TU,TH;UNTIL=20110429T000000;WKST=SU';

my %attrs;
for (split /;/) {
   my ($k,$v) = split /=/;
   $attrs{$k} = $v;
}

my @days = split /,/, $attrs{BYDAY};
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