If you are using a WYSIWYG editor, it is not unlikely to add a <p> tag at the bottom with a character to make sure that you can place your cursor on that last line. The problem with that is it also adds a lot of space at the bottom of your header and footer in the CuteMenu.
The best is to turn off your WYSIWYG editor whenever you edit these nodes. Since only the administrator is likely to change the header and footer of the menus, it should be just fine.
If you need to automatically remove the empty paragraphs, look into the MO Trimmer filter.