Hi Ettore,
you can use the <br> HTML tag to add a new line in the text of a Message Component.
If HTML tags are shown as chars it means that the Component is using the wrong template configuration.
So select the Component from the Page, and select the Component from the Layout View. From the Layout Properties open the Layout Parameters dialog (using the blue dot) and set the Content Type property to 'text/HTML'.
Let me know if this helps you!
Regards
Lucio