see the [!NOTE]:

These notes are Alerts which is en extension of Markdown which is nto part of VS Code preview by default.
Seems some extensions can provide it https://marketplace.visualstudio.com/items?itemName=yahyabatulu.vscode-markdown-alert (but this one is not Open VSX https://open-vsx.org/extension/yahyabatulu/vscode-markdown-alert returns 404, asked if author can publish it ByPikod/vscode-markdown-alert#9 )