You see the mark-up while entering a message because the page is static. When you click on Preview, you'll see what your mark-up has done.
For it to work any other way would mean loading a program down with the page (Javascript or some other entity) to dynamically format what you type. Many people run their browsers with this type of scripting turned off, to avoid the evils that may accompany such code, so implementing such a feature would reduce the number of people that could be easily reached by the forum.
It works as-is. I wouldn't change it. To do so is to tempt people who write viruses and such to add their own bits and pieces, and make the forum un-usable at best, and actually dangerous at worst.
If you don't like the mark-up.... Just type plain text. It will look the same as you enter it and as others view it.
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Bob Nix -- '06 Ural Tourist, '07 Royal Enfield Electra