Does it refer here to the Rich Text OmniFocus note attached to the item ?
(as far as I'm aware, the main text of an OmniFocus item is unformattable plain text, so I haven't yet formed a clear picture of the role of the markdown in this process)
OmniFocus puts XML, RTF, and plain text into its clipboard, so retain may not be quite the word – any markdown that you are seeing is presumably being created by Dynalist, probably in translation from the XML, rather than RTF, pasteboard content created by OmniGroup.
To see what's actually in the Dynalist/Firefox clipboard (from which you may need to prune unwanted clipboard flavours to retain only the format you want) you can use a macro like: