Currently, all these boxes can be and are inserted only before/after numbered/bulleted lists. This locates the note/info/alert/warning far away from the text to which they are related.
No, you can't nest note/etc. macros in lists.
As a workaround, you can use corresponding emoticons.
Example (scroll down): https://docs.emplifi.io/platform/latest/home/librarian
I know it doesn't look like Confluence but it's a genuine Confluence content generated in a Viewport site.
I actually find this to be less intrusive than full-size note-box which may disrupt the flow in a number-list.
You can use tables to put them closer to where you want.
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