Comment 11 for bug 637997

Yes, it's a bug, forgot to confirm before. It should display something. There's also some error output in terminal.
As to your other questions:
notify-osd interprets <br> and <br/> as newline but ignores \n (prints it literally).
Gnome notification daemon (tested with Fedora 13) displays nothing, if there's unknown markup like <br> and <br/>. It interprets \n as a new line.
All three accept something like this:
$ notify-send "title" "line1
> line2
> line3"

With which other programs does it fail? Do these programs rely on \n or on <br>?