Why doesn't this work in the Python Shell?

[snippsat]

but not if I enter it directly into the Python Shell (via Cmder on Windows). Is that normal?

From cmder,just the same cmd.

C:\
λ cd python27

C:\Python27
λ python
Python 2.7.9 (default, Dec 10 2014, 12:24:55) [MSC v.1500 32 bit (Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> i = 1
>>> while i <= 6:
...     print 2 * i, '   ',
...     i += 1
...
2     4     6     8     10     12
>>> exit()

C:\Python27
λ

Only 1 line at time an enter.
... here you push 4 space before enter.

I never use shell(interactive interpreter) from cmd/cmder.
That's much better from and IDE editor as eg PyCharm(Community Free),Spyder,Pyscripter ect.
The auto indent and autocomplete work in shell(interactive interpreter).