It is a device driver implementation detail, options you specify in the CreateFile() call are passed in the IRP_MJ_REQUEST request. The one I linked is the one for file systems, it is very fancy one. Click through the IrpSp->Parameters.Create.Options link to IoCreateFileSpecifyDeviceObjectHint()'s Options argument to see FILE_NO_INTERMEDIATE_BUFFERING.
The documentation for the IRP_MJ_REQUEST for serial ports is here. Very simple one, no arguments at all :) In general, the winapi to device driver interface for communication ports is a very straight-forward. There's an (almost) direct mapping between the documented winapi function and its underlying IOCTL. The winapi function doesn't do much beyond basic error checking, then quickly passes the job to the driver.
So there isn't any way to pass the FILE_FLAG_NO_BUFFERING option you specify so it simply doesn't get used.
Otherwise the logical conclusion, serial port I/O is interrupt driven, the driver must buffer in order to not lose bytes and keep an acceptable transfer rate. You can technically tinker with the buffer sizes through SetupComm() but, as documented, it is only a recommendation with pretty high odds that the driver simply ignores very low values.