I copied it carefully - doing my copy from right to left. I most always copy/cut that way out of habit for just this reason (and for the paste results in things like text documents, where I don't want a superfluous new line).
As mentioned, I've never really dug into the reasons, I've just observed the behavior and just assume it's the new line (line ending) character being inserted and doing what a new line character is supposed to do.
In some text editors you can opt to show said character. There's also a difference between the new line Unix/Linux uses and the one Microsoft uses. I'm not sure if it's intended, but it probably is, we have a user whose name is
@dos2unix - which is an application for converting said line endings.