This thread is old enough that it no longer contains good advice. MultiMarkdown moved away from using HTML comments for this sort of thing, and uses a syntax like Pandoc uses for pass-thru. But it’s worth noting that by default Pandoc allows for inline LaTeX in the same way both engines allow for inline HTML.
Here is a post that demonstrates the new method.
Lastly, I don’t know what advice you came across that suggested any of this would be done in Page Setup. That’s very far away from anything involved in this. At its simplest, you just type these things into the text editor, but to avoid the clutter of doing so, styles are a great way to mark text in the editor, which can then have syntax wrapped around the text when compiled.
For a practical example, open File ▸ Compile..., select MMD → LaTeX at the top, double-click on “Article (Memoir)”, and then access the Styles pane in the Format Designer window. Two good examples are the “Index Key” style and the “Raw LaTeX” style. The latter just wraps the pass-thru syntax around the marked text, while the former also adds LaTeX syntax, so all you see in the editor is the indexing keyword. Paragraph styles can go even further than that, putting an environment around the whole range of lines, and then prefixing and suffixing each line.
One last thing to consider, if you only are concerned with producing LaTeX documents with Scrivener, and are finding Markdown in general to be an unnecessary layer of friction between A and Z, then have a look at the General Non-Fiction (LaTeX) project template. This template is aimed at those wanting to write much closer to the source, more like they might in a dedicated .tex file editor, but with the added conveniences that Scrivener provides to avoid having to use syntax all the time. Indeed one could avoid most syntax if they wanted to set up the compiler in an extensive enough fashion.