On MSWin, all filehandles are opened with the :crlf layer by default. Therefore, the $_ coming from <> doesn't contain the \x0d anymore. To get the Unix behaviour, do

binmode FH, ':raw';
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Update: I wasn't able to make this work with -n and filename argument - somehow, you have to change the bimode of an open filehandle, but -n opens it and reads from it at the same time or something (anyone?). Therefore, I had to write the loop myself:

perl -wE 'use open IN => ":raw"; while (<>) { /(\R)/; say (unpack "H*"
+, $1); }' file
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Update 2: -M works, thanks Anonymous Monk:

    perl -Mopen=IN,:raw -wnE '/(\R)/; say unpack "H*", $1' file
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