In the Markdown reference, "Numbered lists are easy": 1. But they don't work for me, 2. ... unless there is a blank line before the first entry. 3. Is this a bug?
The answer is that this is how Markdown works.
I still think it's a usability issue that affects everyone who only writes lists occasionally. If you are used to writing your lists without blank lines - for example if you use Microsoft Word or Outlook - then the solution is counter-intuitive and not documented in the Markdown reference.
Apparently "most users figure it out eventually" so it isn't necessary to improve the documentation.