It does appear that the ability to render markdown formatting is client specific but the nostr protocol carries the information just the same and this is good for "future-proofing".
In the end, a decision will be made by the client developer/s as to whether or not their client renders MD and then there will be a decision by the user base as to whether or not to continue using clients that don't or migrate to those that do.
#WeAreSoEarly