Windows Terminal doesn't process such shortcuts.
In programs that use line-oriented input (such as Cmd.exe), it happens within Conhost (or its successor OpenConsole in WT's case), similar to how the Unix tty layer provides basic line editing for cooked-mode programs. Unlike Unix ttys, however, the shortcuts in Conhost/OpenConsole are not customizable at all.
In programs that use character-based input (such as PowerShell and Bash), all such shortcuts are handled by the program that receives input. PowerShell, for example, uses "PSReadline" which is practically a clone of the "readline" library used by Bash.
With PowerShell, use Set-PSReadlineKeyHandler to bind Ctrl+U to the BackwardKillInput function (which should already be bound by default, but if it isn't, edit your $Profile file to make it happen).