This is currently a bug. The UI Builder does not handle newlines (and other special symbols) in the UXML properly (and will actively undo all newline characters you manually add in UXML when it saves). We are tracking this and should have a fix soonish.
In the meantime, you’ll have to set the text with newlines in C# or in a different UXML template that you don’t ever modify in the UI Builder.
From UXML directly it’s possible to input new lines in attributes with 

<engine:Label text="Hello
World"/>
Like Damian mentioned this not handled yet by the UI builder. It should be possible to have “\n” in the C# string and assign it to a label. Provided the Label is constrained in height it should expand to a new line.
Mostly to reduce the scope of what we would need to support. We didn’t rule out support for content text in the future but that opens up a lot of other possibilities (like ) that we’re not ready yet to support.