Hmm. That's strange. I was pretty sure that monokai had Markdown support (cant check on that because I have it deleted from my computer). You see, tmThemes are completely responsible for the coloring of text. So if that particular tmTheme doesn't have support for a specific language, there won't be any coloring...
This is what my screen looks like with Syntax set to "Markdown"
I use a modified version of IR_Black (which I call "Refresh"), you can download it here: https://gist.github.com/1657493
. It has support for Markdown.