Why is there no new line after paragraph sectioning commands?

Most latex sectioning commands (below \chapter) are handled by the internal \@startsection macro. This implements two distinct styles of heading display headings that are offset vertically from the following paragraph, and inline headings that are set as the initial part of the following paragraph.

The standard classes switch style to inline at the \paragraph level although it is easy to redefine them back if you wish.

Inline "headings" are not that uncommon but sometimes "heading" text isn't really a heading but just the first word(s) of the paragraph. The setting is often similar to that of a description environment which is often another alternative markup at this level, there isn't really a hard line between sectional units of a document and a list once you get down to level 5 or 6 headings.

It depends what document class you're dealing with, but if you have a preference, or are working to a specification, for a paragraph spacing rather than an indent, place \usepackage{parskip} in the preamble, omit the \paragraph in the text body, and simply enter the space in the text body. That will be preserved.