IMHO, people who set $/ are, by definition, saying that they expect lines to terminate with something other than a newline; they should expect 'say' to conform to their wishes. I don't like the notion of perl second-guessing the programmer's intentions here; "Do what I mean, not what I say" only carries so far.
That said, I very rarely set $/, so this aspect of 'say' doesn't really affect me. -- Jonathan Lang