I'm not familiar with wxpar, but from its documentation, I see the following:
run 'wxpar' exactly as you would run pp.
From what you posted, you're not using the -c or -x options. If you look at the documentation for pp, the -c and -x options are used to "determine additonal run-time dependencies". Since you're not using either of these options, it's possible that wxpar is not picking up some needed dependencies for the XML::RPC that is causing the very issue that you are seeing.
Also, if you use the -c and/or -x option to catch any missing dependencies, you might start seeing error messages about any missing DLL files that wxpar didn't pick up. If that does happen, you can use the -l option to include any needed DLL files.
Oh and btw, if I try to compile the .exe using ActiveStates PDK, the problem actually disappears (XML-RPC response is properly received).
Both pp and ActiveState's PerlApp from their PDK are trying to catch all of the needed dependencies. However, I don't think that neither claim to be 100% perfect in doing so. That's why both have methods to allow the user to add in additional files and modules in case the tool misses anything. In the case of your code, it's possible that PerlApp is catching a dependency that wxpar missed or you might have used a PerlApp option that caused it to determine run-time dependencies. It's also possible that there could be scenarios where pp (and/or wxpar) could catch dependencies that PerlApp misses.