As was just brought up in the discussion about the vote, the current markdown-parsing in the comments is causing quite a few bugs and the associated convenience might not be worth the costs of the bugs. We now have an experimental option in your user-profile to switch to a pure markdown editor, so it might make sense to just remove the automatic markdown parsing from the comment editor and have it just be a pure rich-text editor.
I left two comments that you can vote on to decide between the options.
There's a third option I just looked into – removing underscore parsing from the WYSIWYG editor rather than removing markdown all together. Underscore parsing is what causes most of the links-not-registering-correctly issues. (underscores are just an alternate way of conveying italics, which asterixes also do, so it's not limiting your formatting options)
I didn't expect myself to have very strong opinions on removing markdown from the WYSIWYG editor but I after experimenting a bit today, I found myself really liking being able to keep typing without having to move my hands to off the keyboard to format text. (i.e. if I couldn't format italics/bold using asterixes I have to type, and then go in through a second pass to highlight text)
I pretty strongly prefer the WYSIWYG editor in general.