Just to clarify: you’re not going to “modify how documents are transcluded in DEVONthink”. You may be able to style something… or not (I’m away from my Mac right now), but that will not change the transclusion mechanism.
There is nothing to style in this case. A transclusion uses the content of the transcluded document as-is. As you can see in this example conversion of Markdown to HTML, the second p elements are two transcluded files…
This means there is no child/sibling relationship between transcluded content and the main document with the transclusion link.
And these transcluded notes, in turn, may have notes transcluded within them, and so on.
DEVONthink can have such nested transclusions as well.
Opening a Markdown file in either should be, more or less, the same aesthetic experience, at least as far as structure and typesetting are concerned.
While I understand your desire here, this is not something you should expect between two different applications, developed independently, using different Markdown flavors (with Obsidian using their own proprietary syntax).
Any changes in the displayed would have to be assessed as to feasibility and the broadness of appeal of the change. I have seen no other such requests at this point.