I only get a gap between the "main caret" and the adjacent 2ndary caret (which is intended). All other carets do form a line for me.
Mind that may not work with extra line spacing, haven't tested... Not sure if it should, it would mean that carets always extend into the extra spacing (even if they are at different x positions, and wont form a line anyway)
Tested on Win10.
Will check Linux later.