I just tried to link to this page in a comment:
Unfortunately, the shorthand used in comments sometimes breaks on the comma, and tries to italicize the word "Faith".
Broken example here,
with the additional note that it doesn't always break and I don't know why. It worked correctly when I tried to create an example on this question.
Edit now that I look again - I did try to italicize the word "something" at the end of the comment, outside the link. It caught that, so the last underscore is missing. It just didn't actually italicize, presumably because the tag order <a><i></a></i> is invalid.
Short format does not break here under the same conditions.
Per Keen's request:
[link](http://en.memory-alpha.org/wiki/Treachery,_Faith_and_the_Great_River_%28episode%29) text _this should be italic_
A working comment, which does not have a comma in the link, but does use italics after the link:
[No-comma test](http://en.memory-alpha.org/wiki/Starfleet_commanders) some text _should be italic_
Same format as the broken comment working correctly in the question text:
Short format [does not break here](http://en.memory-alpha.org/wiki/Treachery,_Faith_and_the_Great_River_%28episode%29) under the _same_ conditions.