Definite progress, so thanks! Still have one issue remaining.
Formatting style was set to Markdown in my TXT Input section, but Paragraph Style was set to auto so it was applying its own rules to the (mostly) otherwise-correct Markdown formatting.
Now when I convert it I get the same correct preview that you got, Agama. But when I actually send it to the Kindle, this is what I get:
The extra vertical spacing remains, but now only for the lists whose members
don't have the extra two spaces at the end. Weird. Other than that it's perfect. I don't know what the Kindle (and Kindle Previewer app too) is seeing differently from the calibre mobi previewer.