It probably does not know where the <p> tag belongs. But anyway, I would argue that it does not make sense from a semantic point of view to have multiple lists without any text in between.
Paste that same markdown into this page, and you’ll see that different markdown parsers actually handle it differently.
Parsedown (the one of the right) is the parser that Kirby uses. It only wraps the second list item in a <p> tag, whereas Markdown PHP 1.3 wraps both the second and third list items in a <p> tag.
Unfortunately, the creator of Markdown didn’t describe this use case in much detail, leaving the interpretation of the syntax up to each individual parser:
If list items are separated by blank lines, Markdown will wrap the items in <p> tags in the HTML output.
At the end of the day, it looks like Markdown just doesn’t handle consecutive lists.