Thanks for trying Notezilla
The phone app always uses and expects Markdown based formatting. Which means that on Windows also the sticky note must used the markdown editor. Go to the sticky note and right click inside the note and check which editor you are using. You will see the menu "Switch to Markdown editor". Which means that you are using Standard editor.
You switch to the Markdown editor and then type the list like below.
* First item
* Second item
* Third item
Then after syncing, the Android app will also show the bullets and formatting will not be lost.