All the MathJax and KaTeX related markdown for math should use the LaTeX delimiters and avoid the TeX delimiters.
For more info see https://docs.mathjax.org/en/v2.5-latest/tex.html#tex-and-lat...
As a simple example, if you want to write something in literal square brackets, you can normally just write […], but if there’s a link target with a matching name or you’re in an environment that may introduce a link target with a matching name (e.g. rustdoc will see [Foo] and try to find an item to link it to), you may choose to write \[…\] instead. You only need to escape one of the square brackets, but if you’ve escaped both.
Even in LaTeX, mix and match. `$...$` for normal mode, and `\[...\]` for display math, and it works well for two reasons. Inline math are generally short, less prone to mistakes, so `$` saves a lot of time.