Hey Adam,
I have used the example that you have given and this perfoms as I would expect. However on our server when I use <ul><li> construct the </li> tags are dropped. For example I create:
<ul>
<li>Microsoft® .Net™ / ASPX Microsoft®</li>
<li>SQL Server 2000™</li>
<li>Macromedia® Coldfusion™</li>
<li>Microsoft® COM+ / ASP </li>
</ul>
then switch to Normal-->HTML it appears correctly. Then when I revert to Normal-->HTML the HTML appears as (all </li> are dropped apart from the last):
<ul>
<li>Microsoft® .Net™ / ASPX Microsoft®
<li>SQL Server 2000™
<li>Macromedia® Coldfusion™
<li>Microsoft® COM+ / ASP </li>
</ul>
I appreciate the example link you sent but it does not contain any reference as to how to set the editor to XHTML.