With the release of version 3.17, a new feature is introduced, allowing you to enable the "Comment" addon and enable your visitors to type markdown in the comment box.
From the settings page, you need to activate the addon from the screen options:
Then from the Comments tab, you can choose which tag or attribute is allowed for the rendering. Currently, the original raw comment is still saved in the database. The selected options will be used as a filter to output the format you pick in a secure way.
Another requested feature that I hope will be useful for your community! 🎸