I have the same same problem, as it was discussed here http://www.red-sweater.com/forums/discussion/comment/10422
but with my tumblr blog.
I have "Text Filter" under "Server Options" set to "Markdown" in the "Compose" window.
In the settings for the blog, I have "Preview Defaults - Preview Text Filter" set to "Markdown" and I have "Post Editor - Server Text Filter" set to Markdown.
When I send the post to Tumble, it ends up as Markdown, but MarsEdit shows it in HTML.
How do I preserve my lovely Markdown?
And yep, I use MarsEdit 3.5.3