It's all to do with the '.Wrap' property, which can Ask, Stop, or Continue.
As for the 'extra' lines, the macro recorder does generate quite verbose code. Your macro could at least be reduced to:
Code:
Sub ParasStripSelected()
With Selection.Find
.ClearFormatting
.Replacement.ClearFormatting
.Text = "^p"
.Replacement.Text = " "
.Forward = True
.Wrap = wdFindAsk
.Format = False
.MatchWildcards = False
.Execute Replace:=wdReplaceAll
End With
End Sub
Further reductions are also possible, but you're not going to gain anything in processing speed and, depending on what the previous Find/Replace used as its parameters, you might need to clear/reset them anyway.