Have you taken a look at the User Manual section on using MMD in Scrivener? I ask because it looks as though you're skipping the MMD syntax in some cases like bold and italic, which means you're probably not going to get the output you're expecting. With only a few exceptions, all rich-text formatting is stripped during the compile process to MMD. The "MMD and Scrivener" portion of the "Using MultiMarkdown" section goes into the few rich-text features that have meaning on compile, and options for converting formatting to MMD. (You can access the PDF user manual from the Help menu in Scrivener.)
To get the headers, in the Compile window click on "Formatting" over on the left, then click the checkbox in the "Title" column for the document group row and the single document row. (You might as well check it for the folder row, too, although you don't have any folders compiling in your sample project.) You'll see the sample "Title" text added to the preview area below, with the hashes around it. The correct number for the item's depth in the outline will be added automatically during compile.
To get the .md file extension, just type it as part of the file name, e.g. "MyNovel.md". It's just a plain-text file and will use the .txt extension by default (though you can deselect "If no extension is provided, use ".txt""). There's no standard or single required extension for MMD, so .txt works just fine here, but you can easily enter whatever you want.