And this is the power of MDX (and some great focus from the author of course). I’m having a hard time trying to understand why some people seem to dislike MDX, it is the holy grail of web authoring imho.
It's because "standard" Markdown and many other formats already support HTML. If these kind of components were vended as standard web components, they could work in existing Markdown files and workflows.
My team is also working on code sample editor and preview components, but as web components for this reason: https://polymerlabs.github.io/playground-elements/