Generally speaking Scrivener isn’t designed to use styles for body text, if that is what you’re thinking of. That aside, if you’re using them for something other than that, like a long block quote, you need to set up the style to work that way. I went over the process in a very similar thread a while ago.
P.S. I think with Shift-Enter you’re actually inserting a line feed, which you probably don’t want, as you’d end up with one very long paragraph. You may want to turn on invisibles (in View ▸ Text Editing ▸ Show Invisibles) to see what’s going on better.