Unlike Unix, the line editing capabilities are part of the Windows console windows, not the shell. Because of this, the
cmd.exe shell can simply read the input line-by-line and does not perform any special interpretation of your key presses – even CtrlD, Enter will be treated as any other command. You can even make a doskey alias for it:
Windows does have an "EOF" control character, CtrlZ, which works similarly to Ctrl-D in Unix; however, it won't work in this case since
cmd.exe simply keeps reading even if hits EOF.