I dont see any way of making the text more than 1 line. Doesn't seem to be a way to escape a new-line.
You would have thought Adobe would have made it obvious, but on Mac you use Ctrl Enter.
I think it's the same on PC but I'm not near my Windows machine to check. In the past it has been flaky, so I often insert a line break in a caption in Library, copy the line break, and then paste it into Print's dialog box.