SQL Server don't have CREATE DOMAIN.
We have something similar, but this is ancient, CREATE TYPE, CREATE RULE and CREATE DEFAULT, and then you can use sp_bindrule and sp_binddefault to the type.
This was, sort of, "killed" in version 6.0 (1995) when we got ANSI SQL constraints. Since then, people prefer to use DEFAULT and CHECK constraints on a column/table instead of using above mechanism.
The RULE and DEFAULT objects objects still exists, but you will feel very lonely of you use them.
So, yes, there is a hole in the product regarding not having a good story on the domain concept, I'm afraid.