This convention is used in a lot of IMs on desktop that predate Facebook
Perhaps, and maybe Facebook should be criticized for making shift+enter less obvious. But it's still there and, in general, when I see an "email-like" Facebook message it has line breaks done properly.
Thinking about it I don't think I know a single person who uses shift + enter aside from myself. I went back and checked my last 20 chats...no one used it. In a way, the separate messages help organize separate thoughts a bit better.
Sadly, it depends on the exact input field used. I believe that in full-conversation, "shift+enter" means "send", but in brief mode, "shift+enter" means "newline".