Warning: This solution no longer works for Visual Studio 2017 and later. Instead, both of the answers by jcox and Munther Jaber are needed. I have combined them into one answer.
As OP states “File > Advanced Save Options”, select Unix Line Endings.
This will only affect new files that are created. Fixing any that were previously created can be done file-by-file or you can search for tools that will fix on-bulk.