Within MC, I can only give you a couple of newline replacements; MC is currently too limited in this area.
If we could replace all of them in one shot, with a semicolon, you'd be able to trivially assign the semicolon-separated list to Events, and then you could simply pick and chose which event keywords you want.
Until such time, here's what I would recommend, if you don't have another program that can reformat/rewrite the IPTC Caption/Description tags.
1) In a view, select the images for which you want to push converted Caption -> Event keywords.
2) Export this as an MPL playlist
3) run a script on the MPL playlist that replaces newlines with semicolons within only the Caption field, and then copies this field to a new Events field (or your own temporary Events field).
4) Import the playlist
At this point, Events is populated with a list, and you can deselect all undesired events keywords for one or more files. I've confirmed this works. See attached image - this was one Caption with many newlines, which I auto-converted to semicolon-separated list items.
Of course, (3) is the key - if this is outside your comfort zone, or you don't want someone else to convert it for you, I'm not sure what else to advise.