You assume? Wrapping to the "proper" indent level is a highly subjective statement but line-wraps in Markdown in VS Code don't go back to the start of the line but to the level of indentation.
Edit: I also want the line to to be indented past the number or bullet, e.g:
Right:
1. first line of text
second line of text
1. first line of text
second line of text
I imagine you could open a Github issue or even submit a PR if you don't like how a certain editor does word wrapping in Markdown lists. Personally I am not concerned with this detail.