I am completely at a loss here. Where am I going wrong? Is expat still not completely installed? Is there some additional configuring I need to do before moving on to the XML::Parser step?

You're getting spooked by a warning

If you had used cpan XML::Parser or cpanp i XML::Parser, they would have ignored the warning, and went on to call

make
make test
make install
[download]

and most likely, it would have just worked