Unfortunately I can't test 'Ctrl+Return' as I don't know which font would display those line feed characters, neither found a setting to turn them on.
It's not among the keyboard commands listed on SciTEDoc.
A while ago I tested those key-commands in the IDE and made a Scintilla Shortcuts list you might like to check out for more.
It happens in an application I wrote which uses Scintilla.
I haven't seen any mention of it in any documentation either and I certainly didn't program the 'feature' as an option.