When text ends at the right margin of the terminal, followed by a newline, the word/line-selection logic knows that the selection shouldn't extend to the next line, but when you select multiple lines and paste in say gedit, either using PRIMARY or CLIPBOARD, no newline is added where it should.

Try this:
perl -e 'print "http://", "x" x 72, "/\n", "zzzz\n"'

(assuming 80 columns) you get something like this in the output:

http://xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx/
zzzz

but then select and copy the two lines into gedit and see they unwrap to one line.

Similar bug, with regexp matching: bug 339447.