What happened here is that, by using the HTML editor, paragraph elements ("<p>" and "</p>") were added before and after each line automatically.
You can correct this occurrence. Please go to:
Overview => Settings => Wording and Phrases
Search again for the text you had modified (in this example "S_INDEX_MESSAGE").
Click on "Edit phrase" to amend the text accordingly, but without using the HTML editor (see image 2).
Now you can remove the paragraph elements ("<p>" and "</p>") and replace them with new line breaks where needed ("<br >").