Add note around #197 ssms bug

docs/sp_doc.md

@@ -4,6 +4,7 @@
 * [Arguments](#arguments)
 * [Usage](#usage)
 * [Output](#output)
+* [Known Issues](#known-issues)
 * [Contributing](#contributing)
 * [More](#more)
 
@@ -116,6 +117,20 @@ Sample output for the [WideWorldImporters database][sample].
 
 *Note: Slight changes may be made to this database to better demo script capabilities.*
 
+## Known Issues
+
+### Missing Line Breaks
+
+When executing in SSMS, even with ['Retain CR/LF on copy or save'][so]
+setting enabled, line breaks may incorrectly
+not appear in the results.
+A [UserVoice bug][UVBug] has been opened - please vote if you
+agree it should be addressed.
+
+This should not affect the markdown rendering, but it is
+recommended to use another application for execution
+until this is fixed.
+
 ## Contributing
 
 Missing a feature? Found a bug? Open an [issue][issue] to get some :heart:
@@ -127,3 +142,5 @@ Check out the other scripts in the [DBA MultiTool][tool].
 [tool]: https://dba-multitool.org
 [issue]: https://github.com/LowlyDBA/dba-multitool/issues
 [sample]: assets/WideWorldImporters.md
+[so]: https://stackoverflow.com/a/37284582/4406684
+[UVBug]: https://feedback.azure.com/forums/908035-sql-server/suggestions/43188567-sql-server-management-studio-removing-trailing-crl