While I can't give you an answer as to why, I can confirm this behaviour. I first tried your code on cygwin: pipe worked fine. Then tried with XP (using same code and running from the same directory): got the same as you. Furthermore, taking the input from stdin rather than pipe worked fine.

Here's my tests:

ken@Miranda ~/c/_/tmp
$ cat > xp_pipe_prob.pl
#!perl

use strict;
use warnings;

while (<>) {
    chomp;
    s/:/ /;
    print "$_\n";
}

ken@Miranda ~/c/_/tmp
$ echo 'fred:derf'
fred:derf

ken@Miranda ~/c/_/tmp
$ chmod +x xp_pipe_prob.pl

ken@Miranda ~/c/_/tmp
$ echo 'fred:derf' | xp_pipe_prob.pl
fred derf

ken@Miranda ~/c/_/tmp
$ 

Microsoft Windows XP [Version 5.1.2600]
(C) Copyright 1985-2001 Microsoft Corp.

C:\_\tmp>echo 'fred:derf'
'fred:derf'

C:\_\tmp>echo 'fred:derf' | xp_pipe_prob.pl

C:\_\tmp>echo 'fred:derf' | perl xp_pipe_prob.pl
'fred derf'

C:\_\tmp>xp_pipe_prob.pl
fred:derf
fred derf

C:\_\tmp>
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