It's not incorrect. You can't use line breaks in a comment.1 (Have you ever seen a comment with line breaks and paragraphs?) But it can be a little confusing if you're not paying attention.
The page highlights the section about formatting comments for you when you first open the link to that section, which doesn't include the section on line breaks. But once the highlight fades away, the rest of the page looks continuous, even though there's fine print at the end of the comment section separating it from the rest of the sections:
collapse | the above section is quoted for convenience from the full editing help, below.
And it doesn't help that that "below" links to the same individual section and not... the full editing help page. Neither does it help, I suspect, that the comment formatting section is so long that the highlight covers almost the entire browser window, even going below the fold.
1 If you press Shift+Return instead you'll see that you can insert a line break, but it won't have any effect once you submit the comment.