In general, it is probably better to keep the direct speech in the same paragraph as the "He said." However, in a novel or any fictional writing, there is a lot of leeway for effect. I don't recall the particular quote you are mentioning, but I can see that using the "he said:" could be a way of making what the person said to be more like a speech than a dialogue. It does remind me of Middlemarch and how Dorothea might have felt about hearing Casaubon drone on and on.
I think it is important also to remember that some of the grammar standards we now follow were not as standardized back in the mid-nineteenth century when George Eliot wrote her novels. I would probably not want my students to use that particular construction in their writing unless they could explain clearly why they needed to do so because they could not make their point in a different way.