Carriage return/line feed stopped working in SQL Server
Since you're outputting to Grid View, I suspect that the option to Retain CR/LF on copy or save is disabled.  Enable this option, open a new query window, run the same query, and your newline characters should now come across after you paste results out of a Grid View.  In SSMS 2017, the Setting can be found under Tools → Options → Query Results → SQL Server → Results to Grid.  The path is in a similar location in other versions of SSMS.



Alternatively, if you want to apply this setting to the immediate query window only, enable the Retain CR/LF on copy or save option which can be found under Query → Query Options... → Results → Grid.  These settings won't be saved across all query windows, rather they are only applied to the current one.