hi nathbeadle
sadly this is how scribus behaves. as far as i can tell, it's due to formatting model the team has chosen and is defending.
the model by itself is somehow correct, but it fails in a few everyday uses like this one.
well, the sad part, is that you get used, never to write at the end of a line.
at least not when you have local formatting!
(from my recalling: the problem is that the end of line mark and the frame have properties. they should not. except when they need to have it (when a frame is emptied; not sure about the paragraph mark)).
p.s.: i've copied your post to the repository where i'm starting to collect feedback from users... if you don't want it there, please drop me a line.
https://github.com/aoloe/scribus-feedback/blob/master/content/2015/forum-nathbeadle-formatting-at-end-of-frame.md