It’s a bug. Users have been asking about the lack of italics support for a long time (e.g., see: Feature Request - Additional Emphasise Mode Should Feature In Note Card's - #2 by mobo), then it was sort of fixed, but not really. It has since been fixed more in a preview version of MN (3.6.16003). I’ve tried the preview, and it seems to work, though I don’t know when the fix will be released.
Note that even in the fixed version (MN 3.6.16003), there is a shortcut key for bold (Cmd-B), but no shortcut key for italic emphasis (Cmd-I).
I hope that a shortcut key for italics will be added when this fix is finally released.