Well, they don't on my iPhone. Proof:
You can disable this automatic conversion via the Settings app → General → Keyboards and make sure the setting "Smart Punctuation" is switched off. It is smart, but not meant for programmers.
Alternatively, use HTML; <hr/> works as well:
The official "Editing Help" for "Advanced Lists - Indenting" is limited but you can use these tricks:
At least four spaces count as one space, on a gray background, or
Six spaces &
Five again, if you don't care about background color over precision.
If you want bullets:
first level A - no space in front the ...