Thank you for your answer, but it was no solution for the problem. I surely have pressed return and I got the skip to next paragraph, white space between, but in the change preview as well as after updating the article the paragraph and the white space were gone again.
Meanwhile I helped myself by inserting <p> in text mode which worked fine. Interestingly, after changing to visual mode and back to text mode my insertion <p> was no more to be seen, but the paragraph effect fortunately remained.
It is obviously a bug in wordpress software.
I can easily reproduce it: Put some text into a new article. Then insert something with copy and paste from Facebook. Because the resulting font is different from that used before the insertion, go to text mode and remove the markup you will find there (<h5 ...). Go back to visual mode and the insertion is the next line after the original text. Then go to the end of the original text and press return. You get a new paragraph (new line with white space between the two parts), but you will never see this paragraph in the preview or in the article after publishing.