I just tried typing some poetry in Word. Using the basic Enter/Return at the end of the line, Word automatically capitalized the second line.

"He gives his harness bells a shake
To ask if there is some mistake.
The only other sound’s the sweep
Of easy wind and downy flake."

Because of the Enter/Return, it treats the line return like a paragraph break, and thus recognizes the next line as a new sentence, regardless of the lack of ending punctuation in lines 1 and 3.

By the way, to AVOID generating an auto-capital on the second line, I would touch the SHIFT key along with the return, thus adding a line break instead of a paragraph mark.