Trying adding an empty line before the list like:

Some text here:

 - Item 1.
 - Item 2.
 - Item 3.

I experienced this as well. Adding the empty line made it format better.

It also affects the > in markdown, and even with this fix: now it's on its own line, but is the same as any paragraph (markdown has a grey bar on the indent).

Its possible that's an inherent difference in normal markdown and latex's style, but any difference in the appearance (vs directly dowload as html->print to pdf) is undesirable to some degree

This isn't PDF-specific. I'm using nbsphinx and it seems like the conversion to HTML (though rst?) has the same effect. Similarly it seems that the Python markdown package doesn't like lists starting without an empty line before. So it seems that there is a discrepancy between "Jupyter Markdown" and expectations of other tools.

Note that this is an issue with pandoc, created an issue: jgm/pandoc#9079

I also experienced that on HTML output. It seems that pandoc has a setting to recognize bullet lists without a preceding blank line, maybe nbconvert should make use of it ?
jgm/pandoc#9079 (comment)

EDIT: Tested with that extension and it fixes the issue, I'll spin a PR next week