Change Leading and Paragraph Spacing Separately

When I change the leading for text in a bulleted list, the distance between all the lines changes. I'm not even expecting a feature like "paragraph spacing" -- but it would be nice if changing the leading didn't also increase or decrease the space between paragraphs. I'm trying to get some spacing between them -- or at least make it look like there's space between them -- by reducing the leading but it looks like there's really no paragraph breaks when you use the text tool even if you press Enter/Return.

If I'm incorrect, please tell me what I'm doing wrong and tell me what to do. Thanks!