The PDL release manager, Chris Marshall, is a Windows developer. He works on Cygwin, but he also ensures that PDL works on Strawberry before a release. I'm pretty sure that sisyphus ensures things compile under ActiveState's setup, too. In other words, PDL is well supported on Windows these days.
I have never heard of Watcom before your post, and I suspect that the other PDL developers either haven't heard of it or don't use it. As such, any trouble you've encountered is unlikely to have been caught by our developers. Your best bet is to switch to Strawberry Perl or Cygwin. If you really want it to compile under Watcom, I strongly suspect you'll have to do some debugging. Patches are always welcome, but there's no knowing how many build-chain peculiarities you'll have to work around.
But the first thing you should do is take this conversation to the PDL mailing list. That is the official channel for support.