The three major operating systems use different conventions to mark line endings in text files. The MacOS uses Carriage-Return characters (\r in Java-speak) for that purpose. Unix uses Newline characters (\n). Windows uses both (\r\n). jEdit can read and write files in all three formats.
When loading a file, the line separator used within is automatically detected, and will be used when saving a file back to disk. The line separator used when saving the current buffer can be changed in the Utilities>Buffer Options dialog box; see the section called "The Buffer Options Dialog Box".
By default, new files are saved with your operating system's native line separator. This can be changed in the Loading and Saving pane of the Utilities>Global Options dialog box; see the section called "The Global Options Dialog Box". Note that changing this setting has no effect on existing files.