How do I split a file each time a regular expression occurs?

I would do it like this:
perl -ne 'my $fh="/dev/stdout"; if(/7-04/PNLP-(d+)/) { close $fh; open($fh,">/path/to/outputfiles/file$1"); } ; print $fh $_;' < /path/to/inputfile

You're close:

awk '/[0-9]-[0-9]{2}/[[:upper:]]+-[0-9]{6}/ {
       if (file) close (file)
       file = sprintf("split%05i.txt", ++i)
     }
     file {print > file}' input.txt

You want the { if... } code block to be run for the lines that match the [0-9]... pattern, so, it should be on the same line as the /.../.

The second code block {print > file} is to be run for every record as long as file is set, using file as the condition.

Having n in your pattern here doesn't make sense as each record that awk processes in turn is the contents of each line (as the default record separator (RS) is n), so a record is never going to contain a newline character. You also don't want to anchor your regexp here (^ and $).

I've replaced your .+ with [[:upper:]]+ so as to be more specific. With .+, it would match on blah 5-10/2 blah blah €1000000 for instance. You may need to adapt depending on what you want to accept in place of PNLP.

Note that it also matches on blah 1234-56/XX-1234567890 blah as that does contain a string that matches the pattern (see part in bold).

I've removed the g in gawk as that code is not gawk specific. However note that there are still a few awk implementations that don't support the {2}/{6} operators above (even though that's a POSIX requirement), so if you know gawk is going to be available, you might as well use it to make sure it works.