This is a recorded message, please always provide the version of Geany, Glib and GTK (see lines near the top of Help->Debug Messages) and the operating system and version you are using.
WFM Geany 1.36 (git >= 4bceddb4), en_AU.UTF-8 GTK 3.22.30, GLib 2.56.4 Linux Mint,
- create new file add "foo", there is no return at end of line - ensure that the specified preference is unticked - save file - close file - open file, there is no return on end of file
Note if you add a return Geany will not remove it and as @codebrainz noted there is a project specific version of the option which overrides the general option.