Its because its so simple that it causes the surprising behavior. But it is only surprising the first time. After that you realize that everything between two underscores means highlight that section of text. If you actually wanted the underscores you have to do it manually, whats wrong with that?
The common case should be simple. How often do I want to italicize part of a word? That's what should require escaping.
When trying to write a grammar that describes Markdown escaping is the obvious and suitable solution.