I don't think your Python example does what you think it does. In Python, to get an anonymous function, you need to use lambda, at least in the Python versions I know (up to 2.4). All you're doing is redefining the func function three times over, and in your call, you get the last declared func instance. If you do it the following way, I expect Python to behave just like Perl, except that I can't test it:
flist = 
for i in xrange(3):
flist.append(lambda x,_i=i: x * _i)
for f in flist:
Note that lambda constructs also don't really close over the variables in their scope, which is why I set up the needed variables as default parameters.
Basically, I think the concepts you are searching for are Closures and Hygienic Macros, but as I haven't seen the code for the other languages, I can't tell whether you tried to use named functions as anonymous functions in the other languages as well.
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