If you want to replace a string in your paragraph text in your AutoCAD DWG drawing (MText) with a new string containing the new paragraph (new line) control character, you cannot use the standard control string for a new line (carriage return, CRLF, new paragraph) - "\P".
However, you can add line breaks using the Unicode control character - \U+000A. So, for example, you can change the drawing text:
thisline
to:
new
line
Using the search string:
this
and replacing it with the string:
new\U+000A
Remember that line breaks added in this way may subsequently behave differently than normal AutoCAD paragraph breaks.
In the full version of AutoCAD, you can also use replacement utilities such as srxText from Arkance Systems to do this.