I am using Perl on VMS quite regularly (perhaps an average 4 or 5 days per month. I would guess it has to do with the fact that you usually don't call exe files directly by their name on VMS, but almost always through a symbol (something similar to an environment variable) pointing to the exe file. Quite probably,
$^X knows the symbol name, but not the exe file behind. I'll try to test this when I get to work.
Update: Actually, I just tried, on our VMS platforms, with Perl version 5.8.6, $^X contains the full name, including physical path, exe extension and even the version number:
ROL>sh symbol perl
PERL == "$PERL_ROOT:[000000]PERL.EXE"
ROL>sh logical PERL_ROOT
"PERL_ROOT" = "$1$DGA3501:[SYS0.SYSCOMMON.PERL5_8_6.]" (LNM$JOB_834
+94F40)
ROL>perl -e "print $^X, qq(\n)"
$1$dga3501:[sys0.syscommon.perl5_8_6.][000000]perl.exe;1
