It's intentional. The second line of what you expected is not valid HTML or XHTML -- a <ul> block is only allowed to contain <li> elements. (The "<ul><ul>" sequence is is invalid.) Fixing things to use <ul> would therefore result in an extra layer of bullets in the output, or we have to do weird things with style= or class= attributes to avoid them.
The "***" markup simply means "unordered list at third level", it doesn't mean that the lists at the first and second levels must also be unordered lists.