In the local searchbox (ctrl + f) you can insert newlines by pressing ctrl + enter.
If you use the global search (ctrl + shift + f) you can insert newlines by pressing shift + enter.
If you want to search for multilines by the character literal, remember to check the rightmost regex icon.
In previous versions of Visual Studio code this was difficult or impossible. Older versions require you to use the regex mode, older versions yet did not support newline search whatsoever.