Just a note that I am investigating this.
It is a problem with mingw-w64 compilers based on gcc 4.8.0 and above using SJLJ exceptions.
I can repeat your problem using gcc 4.9.1 x86_64 SJLJ compiler on Perl 5.16.3 and Perl 5.20.1.
Using an equivalent x86_64 compiler that uses SEH exception handling, there is no problem.
Using a gcc 4.6.4 x86_64 SJLJ compiler - no problems.
SEH exception handling is clearly the future for x86_64 mingw-w64. Looking at download numbers that's the flavour which the majority of users now use and I would therefore guess receives most feedback / fixes.
That doesn't help you though. My thought is that since the introduction of SEH exception option for gcc, the toolset outputs compiler flags for both SJLJ and SEH versions that mean the wrong options are chosen in either Perl or wxWidgets.
I will continue to try and solve the issue.
Regards
Mark