Roy,
I don't really have much to add that will help but at least you won't be alone here. I am using a different environment (Delphi 6 on Windows XP) but I am performing identical actions to yours. I programmatically add merge fields both by clicks and drag-n-drop.
Following your steps, I click to add my merge field and position my cursor just after the tag marker and press CR. For me, the CR character is accepted correctly. I tested positioning the cursor BEFORE the merge field, AFTER the merge tag, and INSIDE the merge tags and it worked correctly for me each time. Sorry. Perhaps you have an event that is absorbing the CR key?
Regards,
Rich Ackerson