and press ctrl-[Enter] I do not get a new line within a vertically-expanded left-brace, but a set of three, blue boxes on the next line.
What have I missed here?
Not much really but a very subtle positioning of the cursor... after you've typed the content in the second blue box of the cases environment on the first line, you need to hit Ctrl-Enter immediately, without hitting a space or a right-arrow, then you'll get the next line of the cases env. If you hit a space and then hit Ctrl-Enter, you'll get the set of 3 blue boxes. Another way to achieve this is if you exit the math environment after the first line is entered, with the cursor positioned right outside the math, hit the left-arrow twice, so you'll enter the math environment on the first stroke of the left-arrow (you'll see the red box) and one more left-arrow puts you inside the cases environment - if you look at the bottom panel in LyX, you'll see the text "Cases" appear, now hit Ctrl-Enter and you'll expand the vertical brace.
nirmal