Yep, Blackfriday doesn’t understand math formulas.
This has remained unmerged for years: Add Math support (MathJaX) to blackfriday.v2 by Vonng · Pull Request #412 · russross/blackfriday · GitHub.
My hope is that when Hugo upgrades to a more actively maintained Markdown parser ( Make Goldmark the new default markdown renderer · Issue #5963 · gohugoio/hugo · GitHub ), such issues could probably resolved in a more timely manner.