Environment: Windows 10, 21H2

To reproduce, use Wireshark to capture the traffic on loopback interface while running the following code:

        DatagramChannel channel = DatagramChannel.open();
        channel.setOption(ExtendedSocketOptions.IP_DONTFRAGMENT, true);
        channel.send(ByteBuffer.allocate(0),
                new InetSocketAddress("127.0.0.1", 1234));

Check the IPv4 header of the captured packet.

Expected result:

Internet Protocol Version 4, Src: 127.0.0.1, Dst: 127.0.0.1
...
    Flags: 0x40, Don't fragment

Actual result:
Internet Protocol Version 4, Src: 127.0.0.1, Dst: 127.0.0.1
...
    Flags: 0x00

Workaround:
Open an IPv4 channel:
        DatagramChannel channel = DatagramChannel.open(StandardProtocolFamily.INET);