Does this have anything to do with certain other characters also creating formatting, instead of just asterisks? I can't say off the top of my head what they are, but, unless my memory is incorrect, there are some other symbols that cause italicization.
I've also noticed (again, assuming that my memory is correct) that backslashes do remove formatting in the preview of questions and answers but not when they're posted, and the only way to show characters that would normally cause formatting is to put them in code.