Think of it like a really simple CSV file*. Your separator character is \W. To make it easier to think about, replace all \W with a comma, and your input string is "Hello,,World,,,".

split /,/, "Hello,,World,,," gives you the list "Hello", "", "World" (trailing empty fields are stripped as documented).

What you're asking split to do when you say split /(,)/, "Hello,,World,,," is keep the separator character in the list of return values (also the empty fields between separators aren't stripped). Hence:

$ perl -e 'print join("|",split(/(\W)/,"Hello,,World,,,")),"\n";'
Hello|,||,|World|,||,||,
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* Just for the sake of discussion, we all know we should be using Text::CSV instead of split ;-)