Fn+Return has never been a standard key combination that I've heard of. Early Mac keyboards didn't even have a Function key since it was a holdover from the PC world.
What has been the standard is Shift-Return, which is conspicuously omitted from the key combinations you said you tried.
Shift-return enters a 'soft' return character, which should drop to the next line without breaking the numbering sequence.
That said, this method works in every app I have tried that supports numbers lists - except Mail.app, which completely ignores the soft return and creates a new numbered entry, as you state. I consider this a bug in Mail.app. Please consider reporting it via Feedback - Mail - Apple
In the meantime, the only workaround I can see is to write the list in any other app (Notes, Pages, Word, etc.) and copy the text into your email.
- edit: it also fails in TextEdit.app