the method OnInit is not called

Try changing the declarator `sub` to `method`:

class YTDL::App is Wx::App
{
  method OnInit {
    say "***";
    return True;
  }
}
[download]

If that doesn't fix things, or if you have other questions, the freenode #perl6 IRC channel is currently by far the best place to go for talking through any problems you're having while working with anything to do with Perl 6.