Cd doesn't return a value so nothing is output with this example

Interesting ... and there's probably a good reason for that, but I don't know what it is.
Certainly, the behaviour you're seeing doesn't conform to the documentation I get for cd, which begins with:

C:\_32\C>cd /?
Displays the name of or changes the current directory.

CHDIR [/D] [drive:][path]
CHDIR [..]
CD [/D] [drive:][path]
CD [..]

  ..   Specifies that you want to change to the parent directory.

Type CD drive: to display the current directory in the specified drive
+.
Type CD without parameters to display the current drive and directory.
.....
[download]

Perhaps you're running in a different shell (I use cmd.exe), or perhaps your cmd.exe shell finds a different 'cd' implementation to run.
To force your cmd.exe shell to use its own implementation, I think you just need to involve a shell metacharacter in the command - eg:

cd <nul
[download]

Does that command print out the current directory for you ?

(Admittedly this has nothing to do with the subject you initially raised ... but I find it a little bit interesting.)

Cheers,
Rob