As you indicate, the issue is with the .tmLanguage file not your theme.
In the example you give, the first bullet is defined as:
punctuation.definition.list_item.markdown markup.list.unnumbered.markdown text.html.markdown
But the rest of the list is entirely defined as:
meta.paragraph.list.markdown markup.list.unnumbered.markdown text.html.markdown
( You can use the following plugin to identify the scopes in your files: viewtopic.php?f=3&t=1646&p=7545&hilit=scope+clipboard#p7545)
That's why you can color the first bullet, but not the others.
The situation at present is that Markdown.tmLanguage stinks. Unfortunately I don't have sufficient regexp-fu to improve the syntax file --- to say nothing of properly supporting more sophisticated syntaxes, like Pandoc.