The trouble with Excel's "Copy with Carriage Return" trouble can be
verified by going into any text editor and do paste, we would get 2
lines. Therefore this is not a Word formatting problem alone.
Also, most text editor do not have capability to do such thing as
PasteSpecial using Unformatted. Therefore, we are forced to fix the
problem at Excel side.

One other observation: if I select a cell  and do copy, I get 2 lines
when I do paste  later in Word or any other text editor. But if I
select a cell and go inside the cell, highlight the text and do
COPY...I get only 1 line  when I do paste later in Word or any other
text editor. This shows that just copy  a cell or copy text inside a
cell produced different results.