Sorry. I had never used that feature. It is a line, a special kind of a graphic line. I assumed but didn't know what I was talking about.

When you insert it, it inserts a paragraph mark at the end of the line because it inserts it inline with text. I have always simply used a line inserted under the Insert tab. Thank you for teaching me something.
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I suspect that what was happening with your problem was that somehow you had the line selected when you pressed the Enter key. That would replace it with a paragraph mark rather than adding a paragraph at the end. If you suspect this is happening, if you press the End key before you hit Enter it should work.

For anyone looking at this, the Horizontal Line command inserts a line extending from about 1 cm from the left paragraph indent to 1cm from the right paragraph indent.