sed bug, incorrect doc or me misunderstanding

[Daniel Horchner]

Hello,

I encountered a problem with GNU sed 3.02 (both the DOS version and the one 
that comes with Red Hat Linux-GNU 7.1).
The following command
  sed "s/\n/EOL/g" testfile
should substitute all newline characters in testfile with the string EOL and 
send the output to stdout. However, sed seems to ignore the \n in REGEXP and 
doesn't replace anything.

The documentation states in section "sed Programs", subsection "Common 
Commands" that "newlines may appear in the REGEXP using the two character 
sequence `\n'."

Could you tell me what I do wrong or confirm that this is a bug?

Kind regards,
Daniel Horchner