Some fonts, such as Lucida Grande, do not have an italic style, hence it may appear as if the Markdown sequence is not recognized. Please try using another font. The Default font (Menlo) renders all styles correctly.

You can check whether a font has an italic style in the Font Book app: type the font name in the search field, double click it, and in the toolbar open the popup button beside the font name. The default style is named Normal or Regular, and below it should be listed Italic.