I assume you are using the 'Normal' "Style". Try using the 'No Spacing' "Style" but see following caveat: -

I created a template whereby the "Style" is 'No Spacing' and if I launch Word from a shortcut pointing to this 'No Spacing' "Style" template then I get the result you are after. Interestingly it does not work if I launch Word using the normal.dotm template and then change from 'Normal' style to 'No Spacing' style.