The Return/Enter key signifies the beginning of a new paragraph, not a new line. This is because in normal usage you do not need to create a new line because of word wrap.
To see what is happening at the Source, look at the rendered code. Whenever you use the Enter key, you will see a
</p> signifying the end of a paragraph and then a
<p> at the start of the new. Using Shift-Enter will give you a
<br/>, which means break.
Note: You can also change the spacing between lines of text.