How can I get the cursor to go to the left margin when I hit a return?

I am pretty sure this feature has been around since 2003.

When word detects you are creating a list, it applies the List Paragraph Style to your paragraph.

A paragraph as defined in Word as text followed by a hard return (enter key.)

The List Paragraph Style has a .5" indent.

1. You can modify this style.  (Generally Not Recommended)

2. You can click the contextual autocorrect options that appear when you create a list and turn off "Stop Automatically Creating Bulleted Lists" as described in this article. (Generally Not Recommended)

3. You can create a list, for example: (Recommended)

1. Item 1

2. Item 2

3. This sentence is not supposed to be in the list.

Let's say you don't want sentence 3 in the list.

While you are typing "This sentence...", just click the "Normal" Style in the Styles group in the Home Tab of the ribbon in the upper-right of Word 2013. 

You can turn off this option:

1. In Word, click on the FILE tab, then on Options.
2. Click on the Proofing tab, then on the AutoCorrect Options button.
3. On the Autoformat As You Type tab, uncheck Automatic numbered lists, then OK out.

If you let Word create automatic lists for you, then you get no control over the indentation. You can change the indentation after a list has been created, but that is all. As John suggested, you should turn off the automatic conversion.

Instead, make use of a numbered paragraph style whenever you want a numbered list. You can use the built-in List Number style, but of course you should modify it so that it suits the needs of your document.

To modify the style, do the following: Apply List Number to text and then click the actual number (so that Word selects it). Right-click and choose Adjust List Indents. In the dialog box, make the desired changes.

In the Adjust List Indents dialog box, "Number position" defines the position of the list number, "Text indent" defines the position of the second and subsequent text lines, and "Add tab stop at" defines the position for the text following the paragraph number (assuming that "Follow number with" is set to "Tab character"). Note that all measurements are from the left margin.

Based on your description, you want the "Text indent" value to be zero.

You've run into AutoFormat As You Type. This has been around for a long time, at least since Word 97. Many users turn off most of the features when they first install. Then they forget about it until they install a new version and have to turn them off again.

Weird Lines and Borders

If you want to have control over numbered lists and have automatic numbering, follow all of the steps in How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly

If you use Word on a regular basis, you owe it to yourself to learn how Styles work. Understanding Styles in Microsoft Word

At least, read through this series of articles:

Basic Concepts of Microsoft Word - from Shauna Kelly

See previous answer on how to turn this and other AutoFormat as You Type options off.

1. If, in this forum, you type a numbered list it does much the same thing, wrapping to the Indent after the number.
2. When you hit the enter key to start a new paragraph, it assumes that you want a new list item and gives you another number.
3. That also wraps to the Indent following the number.
4. This is the way most lists are generated. Essentially, the number is acting not only as a number but as a visual cue or bullet.
5. If you press the Enter key at a blank new number, you exit the list.
6. Automatic numbered lists (not created using multilevel lists tied to styles) work the same way in Word.

If I want, I can create a (manual) numbered list that doesn't indent but it is harder to read.

1. If, in this forum, you type a numbered list it does much the same thing, wrapping to the Indent after the number.

2. When you hit the enter key to start a new paragraph, it assumes that you want a new list item and gives you another number.

3. That also wraps to the Indent following the number.

4. This is the way most lists are generated. Essentially, the number is acting not only as a number but as a visual cue or bullet.

5. If you press the Enter key at a blank new number, you exit the list.

6. Automatic numbered lists (not created using multilevel lists tied to styles) work the same way in Word.

The first method uses what is called a "hanging" indent.