And that's the heart of the issue. This is a "convenience" introduced to make markdown easier for people who didn't really use markdown, at the cost of adding a pain point for people who are heavy users of the markdown features.
Does html work? Why not use it instead?
No, HTML is not part of how you can format text in Slack.
HTML would also be a pretty verbose way to format text I'm typing out to coworkers, etc.