With PowerShell, we have the ability to define string aliases for
cmdlets, but the command cd\ works just fine from the standard cmd.exe
and is therefore not a PowerShell alias.
Just because it's a standard form in CMD doesn't mean it's not an alias in PS. In fact, nearly ever "standard command" in CMD that also works in PS is an alias. CD is an alias for
Use the command
get-alias cd to learn this and other startling tricks!
CD\ is a valid command is not a question SuperUser can answer.
CMD doesn't need to load PS to do anything.
Reading your comments I'm getting the idea that the first thing you need to recognize is that CD\ behaved this way in CMD long before PS came along, so forget PS. To get PS mixed up in this is to bring confusion. Have you forgotten PS yet? (The correct answer here is "yes") Good.
As Lưu Vĩnh Phúc mentions in his comment, command strings can be escaped using various methods and for various reasons. WHY they do this is up to the individual command parser, the host system, the specific command, the people or teams or organizations that developed all these, and possibly other reasons too.