Microsoft Word 2016: If I select a line and press delete, I don’t want to delete the line break, which is on the previous line

I have some text like this, with my cursor at the |

Sally sells seashells
by the seashore|

If I have Word show me paragraph breaks, that text looks like this:

Sally sells seashells¶
by the seashore|

If I select the bottom line of text, and don’t select the paragraph break on the previous line, and press delete, Word still deletes the paragraph break, even though it’s not selected. It does this

Sally sells seashells|

What I want is this

Sally sells seashells¶
|

How do I make Word stop deleting the paragraph break that I didn’t select for deletion?