I'm not convinced that it's a bug, but possibly a rendering error. If you try the official Markdown test page, (
http://daringfireball.net/projects/markdown/dingus) using:
Code:
## List tests
1. This is item 1
2. This is item 2
then the output is
Code:
<h2>List tests</h2>
<ol>
<li><p>This is item 1</p></li>
<li><p>This is item 2</p></li>
</ol>
Therefore calibre seems to be working in line with the Markdown specification. So before fixing, it may be worth testing that this fix won't cause problems in other rendering systems.