Win32::GUI is Windows specific and is a thin layer over the native Windows GUI code. wxPerl on the other hand is a cross-platform wrapper around whatever system it happens to be running on. That portability comes at a price due to multiple abstraction layers which cost in terms of performance.
If you don't need portability and are happy with the API of Win32::GUI go for it. I have no experience of wxPerl, but Tk (another cross-platform GUI) provides a simpler API than Win32::GUI as well as being cross-platform, so may be attractive for that reason where performance is less critical (the same is likely true of wxPerl).
True laziness is hard work