I'd have to agree with you that this seems like a bug in Text::CSV_XS. Maybe an email to the authors CPAN address is called for.

#! perl -slw
use strict;
use Text::CSV_XS;

while(my $Row =<DATA>) {
    my $csv = Text::CSV_XS->new({
        'quote_char'  => '',
        'escape_char' => chr(92),
        'sep_char'   => ':',
        'binary'    => 1
    });

    if($csv->parse($Row)) {
        my @fields = $csv->fields();
        print "@fields";
    }
}

__DATA__
0005:A:A2:\\\\string 04\\\\
0005:A:A2:\\\string 04\\\\
0005:A:A2:\\string 04\\\\
0005:A:A2:\string 04\\\\
[download]

Output

C:\test>246265
0005 A A2 \string 04\\
0005 A A2 \string 04\\
0005 A A2 string 04\\
0005 A A2 string 04\\
[download]