Hello Tom and Joseph,
Apparently Joseph is not the only one never having used multianswer (cloze) question import because I just tested and multianswer import format seems to be broken in Moodle 2.2 and master (and maybe 2.1 too) and it seems nobody has reported it or asked for support in this forum
!!
Unfortunately once this small problem is fixed, the problem is exactly the same in Moodle 2.2/2.3 : all formatting is lost when you edit the cloze question. Apparently the question text is considered as html and end of line are equivalent to space in html.
So maybe a solution for you Tom would be to use a text editor and search/replace on your text file before importing it into Moodle and add a <br /> html tag before each end of line ? I have tested this solution and it seems to work.
I will create an issue in the tracker to fix multianswer import format in Moodle 2.2/2.3.