in the SSMS grid, in order to force visibility of the data , for display purposes only,Carriage Returns and Line Feeds are turned into spaces; however the data truly still contains the original CrLf;
if you click Control+T (test mode) and rerun your query, you'll see the formatting.
SSMS is a utility,and not a real reporting tool;
the data exported to raw text, like delimited CV, would have your formatting; excel might show the CrLf, or it might hid eit as well; excel likes to format data it thinks it recognizes.
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