Using Visual Studio to view rmarkdown file (.rmd), web essentials correctly highlights most of the embedded R code except for displaying the comment lines as top-level markdown headers. Both start with a single '#' character.
Here's an example of code displayed using Rmd with embedded R code. The comment lines in the embedded code are displayed in a large font:
and the same example as it displays in a r script file. The comments in the embedded code chunks are an appropriate size: