If you're in the middle of a bulleted or numbered list, and you hit Shift+Enter, you would expect it to create a line like the middle one here:
# Item one #: Comment about item one # Item two
However, in actuality it seems to create wikitext like the following:
# Item one Comment about item one # Item two
I should note that round-tripping, on the other hand, works correctly - if there's wikitext that looks like the top example, it will get displayed correctly in VisualEditor, then get set back to the correct wikitext. (At least, based on my testing.)
By the way, this is a variation of a post I made on the VE talk page about two weeks ago: