Should you start a new paragraph for a new speaker if both speakers are contained in the same quoted passage?

This manuscript quotes a passage from the Bible that has more than one speaker:

Job 1:6–7 says:

One day, when the angels had gathered around the Lord, and Satan was there with them, the Lord asked, "Satan, where have you been?" Satan replied, "I have been going all over the earth."

Normally, whenever a new speaker is introduced in dialogue, it starts a new paragraph. But does that rule apply when those speakers are contained within the same quotation?

What you call the rule is more of a convention, and can be subject to common sense. In general, if you are narrating a dialogue in a novel or short story, it makes it easier for the reader to follow what is going on. But there can be contexts in which that convention is unnecessary and may, in some contexts, be distracting.

In this case, you are quoting from the Old Testament, which is written in verses, which are preserved in the English rendition of the original Hebrew. You would find exactly the same with manuscripts of, say, Homer's Iliad or Odyssey. These are written in hexameter verse without paragraphs of any kind. But the same is true of John Milton's Paradise Lost.