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print() uses PyFile_WriteString("\n", file) by default (if the end argument is not set) to write the newline. TextIOWrapper.write("\n") replaces "\n" by TextIOWrapper._writenl.
On Windows, stdin, stdout and stderr are creates using TextIOWrapper(..., newline=None). In this case, TextIOWrapper._writenl is os.linesep and so '\r\n'.
To sum up, print() writes '\n' into sys.stdout, but sys.stdout write b'\r\n' into the file descriptor 1 which is a binary file (ie. the underlying OS file doesn't translate newlines).
If the output is redirected (e.g. into a file), TextIOWrapper is created with line_buffering=False.
You may try to force line_buffering=True when the output is redirected.