Calibre is correct in doing this since Markdown formatting syntax is not processed within block-level HTML tags, such as DIV. This is part of the Markdown specification. See
http://daringfireball.net/projects/markdown/syntax#html
If you are converting to ePub then you could use calibre's Tweak ePub function to explode the ePub and add your required <div> tags. In this case you do not need to specify these <div> tags in the markdown, just use the normal image syntax.
I'm note sure why your second syntax doesn't work. Do you have an images folder relative to your markdown text file?
An alternative option would be to use Textile instead of Markdown as it has more tag and style capabilities. See
http://textile.thresholdstate.com/