Coffent - that is an optional 'feature' that happens to be turned on by default.

You can set your options in Word to NOT automatically expand the selection to include the paragraph mark.

Go to File > Options > Advanced > Editing Options
Turn off "Use smart paragraph selection"
also turn off "When selecting, automatically select whole word" do do the same for individual word selections.

I see Stefan has already posted the fix but I left this post on because the Whole Word setting is also an annoyance for me.

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Andrew Lockton
Chrysalis Design, Melbourne Australia