From a Google search of Word newsgroups comes these suggestions:
(1) Try Print Preview and see if it shows up as the document will actually
print out, Or try printing the offending page and see if the space is still
there. If it isn't, try changing the way you view the page on your monitor.
If the space is still there,
(2) Try a different font.
(3) Go to Tools>>Options>>Set Language and check the language settings.
Different languages interpret punctuation differently.
(4) Go to Tools>>Options>>Compatibility. Down near the bottom should be
"Use printer metrics." Try checking that box. (Note: it is NOT checked on
my machine, and I do not have the problem.)
HTH
Ed