Alternate steps to clarify the problem:
1. “Tools > Customize… > Status > Return Method” should be checked
2. Create a new document and type “a<Enter>b”
3. Save the document, selecting “LF Only (UNIX)” as the Return Method in the Save dialog.
4. Notice the Status Bar shows “LF Only (UNIX)”
5. Ctrl-A to Select All, then type “c” (or alternatively, hit Ctrl-C to Copy followed by Ctrl-V to Paste)
6. Notice the Status bar now shows “CR+LF (Windows)” <– Problem here