When using Data>Markdown, or the gear in the toolbar>markdown, the result is that a bookmark is created in DTPO, rather than a markdown file.
If you clip from DEVONagent using the DTPO Clipper (Data>Add to DEVONthink Via Clip to DEVONthink…) and select markdown from the clipper, then a markdown file is produced as expected.
Is there a site / page that this does not work for you?
In a limited test of three sites (found in a DEVONagent Pro search, selected in the Results view) I get markdown versions of the sites added to DEVONthink Pro Office.
Interesting, okay good to know. I encountered this with at least 6 pages, mostly relatively straightforward news sites. And usually when the Data>Markdown fails, the clipper>markdown will work on the same page.