Using a here-doc with trailing backslashes inside a process substitution in bash

Question

This:

cat <<EOF
one
two
three
EOF

Prints:

one
two
three

And this:

cat <<EOF
one \\
two \\
three
EOF

Prints:

one \
two \
three

But while this:

cat <(
cat <<EOF
one
two
three
EOF
)

Prints:

one
two
three

This:

cat <(
cat <<EOF
one \\
two \\
three
EOF
)

Prints:

one \two \three

What's going on? Why are the newlines disappearing in this situation?