Hi Ian – no, there’s nothing you’re doing wrong. I agree it’s irritating, and it’s certainly a change we can consider requesting from our developers.
However, I think it would depend on balancing this work against other priorities, and what makes the most improvement for the most people. Relatively few TalkPhysics users message, but I appreciate the fact that you have, and that you’ve made the effort to let us know about a problem!
In fact, this irritation appears in another place – I’d like My profile / About me to be able to show formatting as well. Many people went to the effort of putting hyperlinks in their “About me”s, and that got messed up when we relaunched.