If you have a look at the documentation, §21.5, Markdown and Scrivener, the approach you are describing is best encapsulated by the “Incidental” technique, on page 524. With that approach one isn’t really technically using Markdown to write, and is asking the compiler to convert rich text to it internally with that setting.
If you choose to work that way then you will need to mark what text you use that is intended to be markup, with Scrivener’s styles feature or Preserve Formatting (in the Format menu). Although part of a longer conversation, this post provides some insight into how one might use the Styles system to generate markup, with the idea being that it would be in the context of a project otherwise converting RTF to Markdown.
Here is another post that could be generally useful (skip down to the “Using Embedded HTML” section). Again in terms of specifics, we’re talking about how to create an HTML file (from an RTF conversion as well) while having the ability to pass through raw HTML—but the idea is exactly the same only here we want to pass through raw Markdown. Scrivener uses the exact same set of tools for both workflows (which can be convenient if you’re using several of its compile file types from one project).