Seams to be a mod security issue.
when you input a cariage return, it adds <p> tags.
seams that when the post includes HTML tags, it is triggering the mod security that the host has implemented.
HTML editor is used to post rich HTML code, the mod security settings on the host are preventing this.
you will need to contact the host to have them either disable mod security, or configure it to allow HTML code in the post.