I agree with you about preferring Strawberry Perl over ActivePerl.

However, you can use PPM to install MinGW and dmake for ActivePerl so that you can install directly from CPAN. Also, according to this blog post, it looks like ActiveState has decided to start moving away from using their own package managers for their distributions of programming languages and will rely more on the community package repository for each programming language. For ActivePerl, that means support for install modules directly from CPAN.