The help page says:
End a line with two spaces to add a
But I did that in my comment here and I do not see any sort of break.
What's going wrong?
Line breaks and many other stuff are not supported in comments. The basic design rationale is (as described by SE) that comments should be short and sweet: if you need to start a new paragraph, either you are really writing an answer (and so should be posting as such) or you are being too verbose in the comments.