You can customize the layout per tag, if it bothers you that much. Go to the options dialog and select the formatting option under Text Editor -> HTML
Having said that, I don't like some of the inconsistencies I couldn't fix, so I stopped using it except to reformat code from someone else before I started working on it. Once the initial reformat is done, I maintain the formatting manually.
It looks like it is a bug, and isn't dependent on the tag being SPAN or B.
Add an extra space before the closing P.
<p><b>My title</b></p>
Gets re-formatted as
<p>
<b>My title</b></p>
<p><b>My title</b> </p>
(NB the space after the B) gets reformatted as:
<p>
<b>My title</b>
</p>
And that extra space is removed by VS anyway. Hallelujah my HTML looks beautiful!
I followed the same method as Chris. I decided to use a RegEx find and replace to do it for the whole document. The regex finds any closing p or h* tags that aren't preceded by white space or the start of a line and inserts a newline before the closing tag. Examine the regex to get a better understanding. Here's what I used:
Find what:
{[^:b^]}{\</(p|(h:z))\>}:b*$
Replace with:
\1\n\2
It only finds p and h* because those were the only two I found had this problem. Other tags can be added.