Linebreaks in KOMA-script captions

The reason is, that by default KOMA-Script captions are put into horizontal boxes, to measure if they are longer than one line or not. That's why line breaks by \\ or \newline don't have effect. You can disable this default behavior, for example, by using the KOMA-Script option for captions nooneline, so "one-line" captions are treated like multi-line captions.

Added in your example:

\KOMAoption{captions}{belowfigure,nooneline}

Then, you can get line breaks by \\ if you insert \protect before:

\caption{First line of caption\protect\\second line of caption}

However, it's not necessary if you specify an optional argument. It may be recommendable for such long captions, which might not be the optimum for the list of figures. So, this works too:

\caption[short caption]{First line of caption\\second line of caption}