Hot coffee can be consumed in any establishment, especially in a disposable cup. Sugar and milk in DD shops both generally have hechsherim, and many hold that both these items in America don’t require a hechsher anyways.
Also, regarding donuts in DD shops: all mixes and ingredients used by all DD shops are kosher. Their toasters in the front of the store are used for treif and therefore, you cannot have toasted sandwiches in treif DD shops. But the donuts themselves are not problematic, according to an expert in kashrut, R’ Abadi.