You're almost there. If you intend to read record by record, but then use the flip-flop operator as though it's operating line by line, you'll have to modify your code's flow a little:

local $/ = 'END OF REPORT';
while (<DATA>) {
    foreach my $line (split /\n/) {
        print "$line\n" if $line =~ /\*\sparameters after change\s=\*/
+ .. $line =~ /\*\sNRG location\s=/;
    }
}
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But it might be easier to keep the existing "record" file read, and then treat the record as a multi-line string (since it is):

local $/ = 'END OF REPORT';
while (<DATA>) {
    print "$1\n" if m/(^\*+\sparameters after change\s=\*+\n.+?^\*+\sN
+RG location\s=\*+$)/ms;
}
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Another strategy could be going back to using the flip-flop operator, but reading your file line by line, though doing so means you'll have to take care to check that you haven't included a record termination line within the truthy state of the flip-flops, as that would indicate that your record ended prematurely or was otherwise poorly formed.