The way I see it, this is intended behaviour.
Compare doesn’t indicate a new line. Instead it merely tells you that line 3 of Untitled-1 matches line 4 of Untitled-2.
TotalCommander’s and Notepad++’s compare behaves exactly the same as EmEditor’s.
Winmerge however behaves more like what your description of what to expect.
As you already started the topic of comparing:
@Yutaka: I know that its an horrendous amount of work, but Notepad++’s compare plugin is awesome. Would be cool if there were a way to implement something similar. Same goes for search, where NP++ also shines, but with respect to csv, large files and speed EmEditor is still way ahead. On the other hand, I can live quite comfortably with running EmEditor and the other two in parallel.