The hard return (Shift+Enter) is coded in the text file as an “ordinary” return (LF in linux, CR+LF in Windows), followed by spaces. The second hard return creates a line containing spaces and a return, i.e., white space. In markdown, whitespace after a list (here tasklist) ends the list. The next line is thus considered a new paragraph. As it starts with (at least 4) spaces, it is seen as code formatting.
As such, having an empty line within a task (list) item is not supported.
One trick to obtain the visual appearance you are after can be to insert an invisible separator character (U+2063) after the second Shift+Enter.