1. Create any CMD file (for example with one command DIR inside it).
2. Press Shift+Enter on this file.
3. The console window closes immediately after the batch file is executed (noclose.pif is present and working; Shift key on the keyboard is not broken

If you just rename the same CMD file into BAT, Shift+Enter immediately begins to work correctly (that is - remain the console window till manual close).
I performed some investigations and found that for CMD files noclose.pif is not called at all (can be easily checked by replacing the noclose.pif with e.g. calc.exe: when you press Shift+Enter on a BAT file, the Calculator appears; when you press Shift+Enter on a CMD file the black console window just quickly appears and closes).