When using the following code, we are able to show multiple lines
TMSFMXGrid1.BeginUpdate;
TMSFMXGrid1.Cells[1, 1] := 'This is line 1'+#13#10+'This is line 2';
TMSFMXGrid1.NeedStyleLookup;
TMSFMXGrid1.ApplyStyleLookup;
TMSFMXGrid1.ColumnWidths[1] := 75;
TMSFMXGrid1.RowHeights[1] := 75;
TMSFMXGrid1.EndUpdate;