As Jerry Y. says, this is not a Dgraph error. The RDF standard does not allow this use. And not even with JSON. Because it is a Literal String. It is not an HTML text field. What you can do is to use escapes as Jerry mentions and then use some parse in your application to translate the string with correct spaces. You could set html literal in the string and then use an HTML converter in your application who knows.
But you could do it here too.
{
set{
<_:addrs> <correspondence_address> "1) On the manifest details page add a search option to find:" .
<_:addrs> <correspondence_address_options> <_:Options_a> .
<_:addrs> <correspondence_address_options> <_:Options_b> .
<_:addrs> <correspondence_address_options> <_:Options_c> .
<_:addrs> <correspondence_address_options> <_:Options_d> .
<_:addrs> <correspondence_address_options> <_:Options_e> .
<_:addrs> <correspondence_address_options> <_:Options_f> .
<_:Options_a> <option> "a) Major Client" .
<_:Options_b> <option> "b) Consignee" .
<_:Options_c> <option> "c) Forwarder" .
<_:Options_d> <option> "d) Mfst#" .
<_:Options_e> <option> "e) Arrival Date" .
<_:Options_f> <option> "f) Invoice" .
<_:Options_g> <option> "g) HBL" .
}}