You should report it but in the meantime you can workaround it by omitting the escape character and doing your own escaping. The following example replaces "\:" with $; (char 032) before parsing and then converts it back:

    #!/usr/bin/perl -wl

    use strict;
    use Text::CSV_XS;


    my $row = '0005:A:A2:\\\\string 04\\\\';

    # Translate escaped : "\:"
    $row =~ s/\\:/$;/eg;


    my $csv = Text::CSV_XS->new({'quote_char'  => '',
                                 'escape_char' => '',
                                 'sep_char'    => ':',
                                 'binary'      => 1 });


    if ($csv->parse($row)) {
        my @fields = $csv->fields();

        # Replace escaped chars
        s/$;/\\:/g for @fields;

        print "$fields[3]\n";
    }
    else {
        print "Parse failed ", $csv->error_input();
    }
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--
John.