Look at the raw markdown rather than the rendered version, i.e. paste it in a text editor like notepad to eliminate another source of issues
Here is what I get for annotations created on the calibre docx demo file.
Code:
# monkey
sup
14/02/23 4:17 PM
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port
14/02/23 4:17 PM
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# Demonstration of DOCX support in calibre
images
22/05/23 11:49 AM
搜索
1. one
2. two
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# Text Formatting
## Inline formatting
is paragraph uses document wi
13/09/20 3:57 PM
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## Fun with fonts
mbedd
02/02/23 3:40 PM
some http://moo.com/(glue) note2
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automatically
29/04/21 6:36 AM
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ring co
29/04/21 6:48 AM
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## Paragraph level formatting
table w
13/09/20 4:01 PM
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# Structural Elements
## Dropcaps
used to emphasize the leading pa
09/10/22 2:37 PM
mooose
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paragraph
23/09/21 8:50 AM
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## Footnotes & Endnotes
converted
12/09/20 9:27 AM
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As you can see there are chapter headings even multi-level ones, as expected. If you have a book where this isnt working, open a bug report and attach the epub file.