The behavior you are experiencing is a design feature: in Markdown you need a blank line to signal the and of a paragraph. Spaces or tabs at the beginning of a line are not enough to make it a different block from the preceding (non blank) line(s).
This is documented both in Help Center > Our Model > How do I format my posts using Markdown or HTML? (briefly, under "Linebreaks") and in the original Markup documentation, which the Help Center links to.
I agree, though, that it is not intuitive to infer that a newline is required before a code block (or, similarly, before a list). It would probably be useful to have a brief notice in the "How to format" help box on the right of the question/answer boxes and/or in the Help Center and/or in the advanced help page that we can reach by clicking the question mark in the top right corner of the question/answer boxes.
Note that the a preceding blank line is not required if you use the "code fences" style of formatting for code blocks (whose introduction, as far as I can tell, has not been reflected in the help pages yet).