I have a stacked feature-linked annotation, with one of the fields using a formatting tag. The annotation is fine when it is created, however all the lines collapse onto one line when a change is made to the linked feature. A related bug is logged on Esri's website (http://support.esri.com/en/bugs/nimbus/TklNMDc4OTQ4), but the stacked label collapses with any formatting text. Here is an example of the annotation expression:
def FindLabel ( [field1], [field2], [field3], [field4] ): return [field1] + " " + "<FNT size='6'>" + [field2] + "</FNT>" + " " + [field3] + " " + [field4]
edit: Esri support has recognized this as a bug.