Thanks for pointing out the seeming inconsistency. The documentation mentions 
the issue but is perhaps not clear enough, so I installed the attached patch.

The input file contains NUL bytes and so is treated as binary data, and the grep 
documentation (secton "File and Directory Selection", option "--binary-files") 
says "When processing binary data, ‘grep’ may treat non-text bytes as line 
terminators". This behavior was added to GNU grep in release 2.21 dated 2014, 
partly for performance reasons.

There are two instances in riddle.he of a space followed by a NUL byte, so

   grep -P '[ \t]\r?$' riddles.he

finds a match when the $ matches just before the NUL byte.

-a is one way to get the behavior you evidently expected. Another (perhaps 
better) way is -z. The command:

   grep -zP '[ \t]\r?\n' riddles.he

outputs nothing and exits with status 1.