Problem with sed converting convert DOS newlines (CR/LF) to Unix format (sed version 3.02+))

Hello, 


I was using the following sed commands

s/.$//;
s/^M$//;


to replace DOS newlines (CR/LF) to Unix format in the following DOS text file (without --):
--

Hello
World
Hello
sed

--

With sed version 3.02 all was fine.
Yesterday I updated to version 4.21 and this conversion doesn't work any more.

I tried other version too and found that it doesn't work any more since version 3.02.80.

The result of sed version 4.09 - 4.21 is:
--

Hell
Worl
Hell
se
--


The result of 3.02.80 and 4.06 is an empty file.


Can anyone help me with this problem?
Thanks,
Andreas.