I successfully tested modified bootstrap.bat on both Windows command line and Windows PowerShell (PSVersion 7.2.6)
with sed.exe (GNU sed) 4.8 that is the latest on Windows according to the used installer scoop.
can be wrong on Windows command line or Windows PowerShell.
On the other hand, as reported, it is true that original sed command is correct on MSYS/mingw64/mingw32
gzaff@LAPTOP-6HAJ0RG0 MSYS /c/Users/gzaff/Devs/make
$ echo static const char *const GUILE_module_defn = \" \\> src/gmk-default.h
gzaff@LAPTOP-6HAJ0RG0 MSYS /c/Users/gzaff/Devs/make
$ cat src/gmk-default.h
static const char *const GUILE_module_defn = " \
gzaff@LAPTOP-6HAJ0RG0 MSYS /c/Users/gzaff/Devs/make
$ sed -e "s/;.*//" -e "/^[ \t]*$/d" -e "s/\"/\\\\\"/g" -e "s/$/ \\/" src/gmk-default.scm >> src/gmk-default.h
sed: -e _expression_ #4, char 7: unterminated `s' command
gzaff@LAPTOP-6HAJ0RG0 MSYS /c/Users/gzaff/Devs/make
$ sed -e "s/;.*//" -e "/^[ \t]*$/d" -e "s/\"/\\\\\"/g" -e "s/$/ \\\/" src/gmk-default.scm >> src/gmk-default.h
gzaff@LAPTOP-6HAJ0RG0 MSYS /c/Users/gzaff/Devs/make
$ sed --version
sed (GNU sed) 4.7
Copyright (C) 2018 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <
https://gnu.org/licenses/gpl.html>.
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.
Written by Jay Fenlason, Tom Lord, Ken Pizzini,
Paolo Bonzini, Jim Meyering, and Assaf Gordon.
GNU sed home page: <
https://www.gnu.org/software/sed/>.
General help using GNU software: <
https://www.gnu.org/gethelp/>.
E-mail bug reports to: <
bug-sed@gnu.org>.
gzaff@LAPTOP-6HAJ0RG0 MSYS /c/Users/gzaff/Devs/make
$