That is because math mode is a different environment.

And note that bold style often has conventional meaning in math typing, such as vector rather than scalar.

To me, most of the bold examples in the picture look the same. So having markdown and latex syntax work together would make good sense.

I think standard behavior of using markdown syntax together with latex math syntax should be a follows.

**$n^2$** should show in the preview, as if it was written $\mathbf{n^2}$

The same goes for _$n^2$_ should show, as if it was written $mathit{n^2}$

Combining them **_$n^2$_** should show, as if it was written $mathbf{mathit{n^2}}$

Written using markdown, it's a whole lot easier to read and and a whole lot easier to write, especially with ctrl+b and ctrl+i shortcuts.

And note that bold style often has conventional meaning in math typing, such as vector rather than scalar.

My point is that the bold/italic styles have different meanings between normal text and math text.

Do you see the differences? **bold** only changes the font weight to emphasize the text. But \mathbf{} changes the whole font, and meaning. \mathbf{x} is not meant to emphasize x.

The same for italic style

And you can try $\mathbf{\mathit{x + y = z}}$ on your own. Does the result look as you expect?