I suspect that markdown or semi-complicated html (like you, I occasionally like to do this too, even if it's just bold or italics) in replies are a second class citizen because most major CMSes (including Known) strip out or severely limit (for security reasons) the html that is accepted in comment fields. In fact, to conserve on space, I've even noticed that many even strip out blank lines between paragraphs! Many also will mark as spam comments that have one or more URLs in them. As a result doing fancy or even mildly complicated html or markdown in replies is something for which most platforms just don't build.
The other issue in status updates and replies is that they're often syndicated to other platforms and it's a more difficult issue to properly do this with each snowflake social media silo depending on how they individually handle html/markdown (or not). I do this sometimes in WordPress to properly format syndicated content, and it easily triples the amount of manual work, so be careful what you wish for. (This may also be the reason I love Known so much too!)
Every now and then I'll write an extended reply to someone's post that gets to the point that headings, additional structure, and the frills become much more valuable. In those cases, I'd probably then default to make them posts/articles and add the additional touches and then do a manual mark up of u-in-reply-to to have them show up as a reply instead of just a mention. This happens so generally rarely that it's not too much of a headache.
Either way, the end result on the other person's site isn't something I can ever control for, so I try not to sweat it too much. :)