The new say function isn't supported by the perl.vim file that ships with vim. Nick Hibma, the maintainer, tells me it will be updated in the next version of vim. In the meantime, you can hack your local vim files by adding the following line to your ~/.vim/syntax/perl.vim file:
syn keyword perlStatementFiledesc binmode close closedir eof fileno getc lstat print printf readdir readline readpipe rewinddir say select stat tell telldir write nextgroup=perlFiledescStatementNocomma skipwhite
Even if you haven't upgraded to Perl 5.10, you can use Jim Keenan's Perl6::Say module to add the say function.