You are trying to use $1 after a failing match, so basically you deserve whatever's coming to you ;) The contents of the ${\d+} variables are only well-defined if the last (capturing) match was successful. The fact that you were getting the old value was lucky. You should just save $1 after a successful match if you will need it later:

my $last_match;

while ( <DATA> ) {
   if ( /^([A-Z]+)$/ ) { print "In if:   $1\n"; $last_match = $1; }
   else { print "In else: $last_match\n"; }
}
__DATA__
FOO
1234
Xyz
BAR
DFgdfg
[download]

This produces the output you want.

Speculation: As for why it's doing this, I have a guess that as the regex engine goes left to right across the string, it starts matching and filling up the buffer for $1 with uppercase characters, clobbering what was in it before. It doesn't fail until it gets to a lowercase character (when the regex is expecting the end of string), but $1 is already trashed. When the non-matching strings in your __DATA__ started with lowercase letters, the regex could fail before even trying to fill the buffer for $1, so it was not clobbered and the old value remained.

Why you still ended up getting exactly the old first character though is a mystery to me.