Word lets you change the indenting and spacing of paragraphs. Word also gives you control on a paragraph-by-paragraph basis over whether to keep entire paragraphs together or to force one paragraph to "stick to" the next, so they both appear on the same page.
The key concept: Paragraph formatting is stored in the paragraph mark. When you copy or move a paragraph mark, the formatting goes with it. When you delete a paragraph mark, the new paragraph takes on the formatting of the deleted paragraph mark.
It's almost impossible to tell whether you've selected a paragraph mark unless you have paragraph marks showing ...