The system inserts a blank line whenever I start a new paragraph. Why?

When creating an HTML message, you can start a new line with or without creating a new paragraph.

When you press the ENTER key on your keyboard when writing a message in the HTML Editor on the Add/Modify message page, the system will add a <BR> tag to the message, and there will be no spacing between lines. This is not a new paragraph, but rather only a new line (in fact, the same text alignment is maintained and you cannot change it).
If instead you want to create a new paragraph, you can use the button New Paragraph button in the editor toolbar . It will create a new paragraph in the message. By default, in HTML a new paragraph adds a bit of spacing before it.