Hello @fmelossi
I had the same problem with the line breaks when I started writing my responses. Now I am using quotes for the response, e.g. "my reposnse" and I put \n\n to break the line, e.g. "my response \n\n text in new line. This solved my problem.
So, it would be like:
utter_example_response:
- text: "This is my response. \n\nThis is a new line."
About the bold text I would also like to know how to format it like that.