In Ulysses, there's a difference between paragraph breaks and line breaks.
By default, every time you hit return, a new paragraph begins. Empty lines between paragraphs, however, are considered excessive white space which is ignored during export.
But what if you need a line break?
For the occasional empty line or if you write poetry, you'll need line breaks. You create a line break by pressing
Formatting marks are invisible by default. If you want to know that you got it right, select the text. Once you've selected your text, you can see the difference: ¶ stands for a paragraph break, ⏎ indicates a line break.