Initially, that was more or less how it worked. The older and closer to Win32 you are, the less customisable the look is.
But more modern toolkits like WPF are much closer to html in their function. A text box is a white rectangle with a cursor. If you want to add autocomplete, placeholders, a magnifying glass icon in the edge - you put it there yourself.
So basically, making a text search field in Windows now is the same as making it for a webpage. The toolkit doesn't have options for adding autocomplete, placeholder text or icons. I think this is the correct API design, because controls that could do everything would be very difficult to work with.
That said, there should have been some utility or standard library to make it easier to be consistent, such as creating a "system-standard search box" which would then simply do all the gluing that is required for adding the necessary bells and whistles.
I'm sure there is both documentation and utilitiies for doing exactly this - but the problem is that it's so hard to find because everything keeps moving. Ironically I think internal ms devs feel the same way.