I just wonder - are there any advantages to installing perl modules from the cpan shell compared to installing them by package management? Apart from occasionally having quicker access to the latest modules version?
Well, it all depends on the intended use of the modules.
The native package management has many advantages:
When installing directly from CPAN, you also have some advantages:
Nowadays, local::lib and perlbrew (howto) has made the CPAN way a lot more interesting for a developer. local::lib lets you have your private module tree while using the system's perl binary and perlbrew lets you easily create your own complete Perl installations (also several Perl releases in parallel).
Both ways are valid, and as said, the advantage depends on the intended usage.