Using ^Z (ascii Substitute char) instead of ^D (ascii 'End of Transmission') is an MSDOS affectation carried over to the the MSDOS-based text-mode Command Prompt on Windows.

I verified that ^D now closes IDLE on Windows. ^Z gives a beep.
(I do not know about 2.7. It needs to be checked.)
I also see that the IDLE Help document still says
"Control-d sends end-of-file; closes window if typed at >>> prompt
(this is Control-z on Windows)." so you are right to be confused.

I do not know when the change was made, but I presume it was intentional as ^D is standard and most Windows users have no experience with MSDOS and ^Z. (It does not close Windows gui applications that I know of, nor does ^D usually.) So my inclination is to just remove the note (after checking 2.7.3 behavior) and not change the code.