The problem is that the sizeof operator checks the size of it's argument. The argument passed in your sample code is WCHAR*. So, the sizeof(WCHAR*) is 4. If you had an array, such as WCHAR foo[23], and took sizeof(foo), the type passed is WCHAR[23], essentially, and would yield sizeof(WCHAR) * 23. Effectively at compile type WCHAR* and WCHAR[23] are different types, and while you and I can see that the result of new WCHAR[23] is functionally equivalent to WCHAR[23], in actuality, the return type is WCHAR*, with absolutely no size information.
As a corellary, since sizeof(new WCHAR[23]) equals 4 on your platform, you're obviously dealing with an architecture where a pointer is 4 bytes. If you built this on an x64 platform, you'd find that sizeof(new WCHAR[23]) will return 8.