Word carries formatting for paragraphs in the paragraph. I'm pretty
sure you are seeing paragarphs formatted for 1 or 2 lines "after" (or
some space). Put cursor in the paragraph and check format/paragraph menu.
If you click on the little Paragraph symbol on the toolbar, you'll see
the end of paragraph markers and I think it will it clearer to you
what's going on. In addition to being end of paragraph markers, you can
also think of these things as where the formatting for the paragraph is
stored. This is why when you delete a paragraph marker, the formatting
from the following paragraph rolls upward to the previous mark. Without
the paragraph markers, it's hard to visualise how this works.