It is a known issue, and as far as I know, Microsoft doesn’t seem to be working on it.
One way to work this around (as you allowed workarounds) is to paste your markdown code to any editor/converter that produces rich text, copy the rich text, and paste it to Microsoft Teams.
Any online markdown editor will work. I tested with Dillenger and StackEdit but I’m quite sure there are many other online editors you can paste your markdown code, copy the preview, and paste into Teams.
If you are using VSCode, you can use the native markdown preview to generate a rich text, copy from it, and paste into Teams. Both Teams and Code are MS products so I guess they would work well together (just guessing with no hard argument). At least the pasted result seems good enough to me.