Even after #941 is applied, this test markdown (test.md):

- Some text
  {{< alert title="Warning" color="warning" >}}
  This is a **warning**.
  {{< /alert >}}
- Some text
  {{% alert title="Warning" color="warning" %}}
  This is a **warning**.
  {{% /alert %}}

Yields this:

According to Indentation fixes for shortcode blocks of Hugo 0.100.0, both of the above alerts should render properly in markdown. Probably best to create a small test case and post it to Hugo discussions.