You need to use TextBlock because TextBlock accepts as children a collection of Inline objects. So you are giving the TextBlock element three Inline items: Run Text="Lorem", LineBreak, and Run Text="ipsum".
You can't do the following:
<Label>Lorem<LineBreak/>ipsum</Label>`
because a label accepts one content child element.
Also, not sure exactly what your use case is but notice I placed a TextBlock inside your Label element. Is it repetitive? Not really, depending on your need. Here's a good article on the differences between the two elements: Difference between Label and TextBlock
When doing this in the ViewModel or Model, I have found that using Environment.NewLine has the most consistent outcome, including localization. It should work directly in the View as well, but I haven't tested that.
An example of how to add a ToolTip with multiple lines to a control, such as a button. The tooltip is width limited so it will wrap if a sentence is too wide.
<!-- Button would need some properties to make it clickable.-->
<Button>
<Button.ToolTip>
<TextBlock Text="Line 1
Line 2" MaxWidth="300" TextWrapping="Wrap"/>
</Button.ToolTip>
</Button>