I think for that kind of advanced formatting and features you need to combine html/css with Markdown.  So technically it isn't markdown.  

It would definitely be useful to have an official document that lists all the markdown, html and css styling options and how to use them.  

I suspect it will happen eventually but it is probably not a priority.  

Also from what I understand that bug report is referring to linking to a particular comment which is different from what you want.