Installing modules is different. With ActivePerl, people usually use pre-built PPM packages. Pure Perl modules can be built with CPAN but it is harder. Getting the right compilers for building binary modules is a challenge.
Perl comes from a Unix background and certain idioms depend on that. The emulation in Windows can be imperfect. For example, fork() behaves the same but has different side-effects.
For your purposes, the networking internals are completely different. I assume there is an interface to packets since there are Windows firewall products but the API isn't well known and is probably complicated. On the other hand, the Linux networking is more transparent. There are interfaces for tapping into packets from the kerne (netlink sockets). There are ways of doing transparent proxying.