Are you sure it merges lines? Press the show/hide formatting characters button in Word and look at the paragraphs:
The reversed "P" marks the end of a paragraph. It's added automatically if you press Enter. If you press Shit+Enter, it will add a line break instead. AFAIK, this works in FineReader as well. But I never use FineReader for page layout. Word is much more advanced.
If you're looking to add indentation, line spacing or
paragraph spacing (from Word), you should look at the "Page Layout" tab (Home, Insert,
Page Layout, References, etc). Press Ctrl+A to select the entire text and add indentation to your heart's content.