It is because MS Word tries to put the whole of the URL on a single line, so it moves it to the next line. Nothing to do with EndNote settings. If you look at it with word showing hidden characters (paragraph symbols and spaces) you will see there is no forced return. (PS - if the URL contains a hyphen or underscore, it breaks there and can fit – but that is dependent on its construction, as if you alter it, it will break the link).