LaTeX in my own chat messages does not render in the Codex desktop app (I’m on macOS), while GPT-authored LaTeX seems more likely to render in the same thread.
Examples that did not render for me in user messages:
$$f(x)$$, $f(x)$, \(f(x)\), \[f(x)\]
All of these (except $…$) render if it is output from GPT.