I've had a similar problem under cmucl with a simple menu function that originally came from a Kent Pitman(sp?) posting. I've found that \C-j followed by RETURN or \C-\M-m will produce the expected behavior.
From the timing of when I first saw the problem, I'm guessing it was
introduced by the changes to (slime-repl-return) on 6-18, but I'm a hobbyist and I'm really guessing. I've tried to follow the relevent functions through but it's getting late. I hope I've at least given a clue that will allow someone who knows what he's doing to find a solution. FWIW, I'll try to dig in later tomorrow if no one solves the problem before then.