A family of Microsoft word processing software products for creating web, email, and print documents.
If you are using the version that you chose from the dropdowns (Word 2011 for Mac), choose Word>Preferences>Compatibility and check Don't expand character spaces on the line ending Shift-Return.
If you are using the version you mention in your text (Word 2016 for Mac), you're stuck, because the Compatibility control panel is gone. It will honor the setting if you open your document and set it in another version of Word, but you can't set it directly.
There is already a suggestion in the Word for Mac User Voice forum. You can add your vote, which will increase the likelihood of Microsoft programming this back in: Restore compatibility options pane to preferences