This is because WordPress is changing the code on the fly to remove it. You need to enter proper /current HTML code to have it work correctly.
To account for this you've to use a plug-in to make the adjustment manually.
You can use a nice little tool called Dynamic Templates.
I really suggest you go to the website and watch the videos to get the real idea of the plug-in. It can help/do many things.
To forma properly working strikethrough macro; it’d look like this:
<span style="text-decoration: line-through;"><%= _selection %></span>
But you can do other things too; it's quite configurable to various things Windows Live Writer doesn't do by default.
I hope this helps…
Larry Henry Jr.