Steps to reproduce.
First it's needed to build native sed.exe on windows.
(Note: don't apply sed-4.3-src.patch in these instructions - it fixes reported bug and build problems with Visual Studio 2008)
Now, if we have working native sed.exe, from cmd.exe
1) create a file containing a line terminated with '\n':
echo.1> test
check "test" contents, dump it:
c:\cygwin64\bin\xxd test
00000000: 310d 0a 1..