From your references to ‘return’ and ‘shift and return’, I don’t think you’re actually asking about tabs. Unless I’ve completely misread your question, you’re asking about paragraph spacing. (Tab characters take you across the page, not down.)

Pressing Enter (or Return) creates a new paragraph, separated from the previous paragraph by the ‘space after’ paragraph setting. By default this gives you a blank line between paragraphs, but you can set it to any value: set it to zero if you want no extra space between paragraphs (which you would usually only want if you’re using first-line indents).

Pressing Shift+Enter (or Shift+Return) gives you a line space without creating a new paragraph.