Yes weird since Wordpad should also treat it that way, but in my test it did not.

 
MS Word though understands and grabs the html coding which Wordpad does not (Word 6 - pretty much what Wordpad is - did not undertand html back then) thus not the exact same thing. However in the past it would keep the formatting and now does not seem to.

Not something I'lll probably spend much time on right now, but maybe take a further look at it later on.