I'm embarrassed. Someone pointed out to me that Windows doesn't flush STDERR as often as other OSES. With one extra line of C, it works on Windows and I think I can modify the external library this much ...

#!/usr/bin/perl

use Capture::Tiny 'capture';
use File::Temp qw(tempfile);
use Inline C;

my ($stdout, $stderr) = capture { test_err() };

print "|$stderr|\n";

__END__
__C__
void test_err()
{
(void)fprintf (stderr, "ERROR");
(void)fflush(stderr);
}
[download]