This question follows the discussion in comments here.
We know that Markdown in chat fails for multi-line messages. Debatable, but OK.
However, the Chat FAQ for formatting shows us what appears to be an example of a multi-line message with markdown formatting:
While the FAQ authors may have meant to show different single-line messages, this can come across as a single 5-line message.
That misleads some people (like myself) to assume they can use Markdown multi-line messages. The example should probably split up or the issue be otherwise better-clarified.