Ulysses' problem is that, despite saving as Markdown, there's no "real" Markdown editing mode. Certain things, like images, can only be entered through the GUI, and its clumsy parsing means that certain formatting gets permanently mangled in a way that messes up copy-paste, since what you see when editing isn't actually Markdown. Among other issues, for example, it adds escape characters, of all things, to anything with a [.
Agreed. That's one of the reasons I'm not able to use it as much as I'd like to. Basically only works perfect well for basic Markdown (and adding images with their GUI)—if you need any extra code or tweaks on Markdown, you'll be escaping a lot of characters.