I retract my point -- that doesn't seem to be the case for entities. I was rather thinking about script tags, but that case clearly doesn't matter now.

So it actually seems entities are supported just fine, but it's still debateable whether we want to pollute the markdown code with them, as one of the main selling points of plain-text formats like Markdown, Restructured Text etc is the readability in a normal text editor. So i still propose to use the unicode symbol instead of the HTML entity.