Any performance gain is a nice side effect. The primary point is, not doing that which is not necessary, solely to satisfy some twisted notion of "correctness".
Would this improve speed of web apps, using CGI::Application?
Probably. Whether it would be enough that your clients would notice is doubtful, but if you are running the application on a server farm, you might be able to measure a reduction in your power usage that would be worth having.
I can imagine that if Google found a way to reduce their electricity bill by even 5% by doing something -- or rather not doing something -- that required no other effort and had no other cost, they'd be all over it.
With the rise and rise of 'Social' network sites: 'Computers are making people easier to use everyday'
Examine what is said, not who speaks -- Silence betokens consent -- Love the truth but pardon error.
"Science is about questioning the status quo. Questioning authority".
In the absence of evidence, opinion is indistinguishable from prejudice.
If you are intent on optimising CGI::Application, from a quick glance only, there seems to be plenty of scope for it that will probably yeild greater benefits than the removal of return statements. That said though, there is probably nothing else that will yeild benefits for so little effort :)
If you choose to test it, be aware that there is one type of return statement that your shouldn't blindly remove: