We know Ronaldo wants to score a free kick for the Italian side. The phrase indicates he tries multiple times to score a free kick, but is disappointed to fail.
Let's break it down, leaving out the middle section:
"..a run of misfortune that has had little effect on his otherwise excellent numbers, but gnawed away at the notorious perfectionist as each effort went awry."
"gnawed away at" - literally means "chewed at", but here it means that the misfortune "caused Ronaldo mental pain"
"notorious perfectionist" - means Ronaldo is well known for seeking perfection in everything he does.
"each effort went awry" - means each attempt at a goal failed. "went awry" means that events did not go according to plan.
the series of missed free kicks did not have much effect on Ronaldo's excellent goal record, "but caused mental angst for Ronaldo, who is well known to seek perfection, as each attempt at scoring a free kick went poorly"