It doesn't on my 4.4.2 tablet either, when you are entering multi lines, you'd expect to see a return key, which is what I get.
There are many discussions about it on StackExchange and it depends what the end result is you want.
One suggestion is to set the field as single line, with the force done button on and then in code:
Dim JO As JavaObject = EditText1
JO.RunMethod("setHorizontallyScrolling",Array As Object(False))
JO.RunMethod("setLines",Array As Object(3))
which displays the Finished button, and forces wrapping of text, but you obviously cannot enter carriage returns, so no hard line breaks.