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Just a bit more info: ^D and ^\ in Command Prompt interpreter print '^D' or '^\'. Return causes syntax error. ^Z\n in interpreter causes silent close. (Because DOS used ^Z as end-of-file.)
^D in IDLE causes silent close. IDLE ignores ^\ and ^Z both -- nothing printed or stored. Following \n gets prompt back. The difference is not nice for Windows users, but I presume IDLE behavior is same as on *nix and consider consistency across platforms good and should be kept.
If I understand, IDLE needs to install a SIGQUIT handler to terminate the background process 'resource'. That should work on Windows too as either SIGQUIT will never happens, or if it does, same should happen on Windows too. I know SIGKILL cannot be caught. What about SIGTERM?