I use Shift Return to get a new line IN a heading in the wordprocessor. The auto-generated Contents replaces the newline with a space.
When the docx is converted to epub the TOC replaces the break with a space. The headings on epub and Amazon generated mobi, azw3 & KFX are also fine.
I suspect the HTML has
Code:
<h2 class="whatever">Chapter X<br/>The Dawn</h2>
but I've never checked, because it's working on everything.