Note that you can set the spacing before and after so that they are both zero; that way, you can press Enter without getting any extra spacing. This is the approach I recommend.

For the setup you have right now, you will have to select the "Don't expand character spaces on a line that ends with SHIFT-RETURN" in the Layout options, found at the bottom of the Advanced category in the Word Options dialog box (Office button | Word Options).

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional