Using basic markup in field names
Do you only need the HTML labels in the Control Panel?
I tried it for a short time and found this solution. 

Install doublesecretagency/craft-cpjs.

Add this snippet into the editor of the plugin.

var $labelReplaceElements = document.querySelectorAll('#fields th &gt; a, #fieldlayoutform .fld-field &gt; span, .field &gt; .heading &gt; label[id]');
Array.from($labelReplaceElements).forEach($element =&gt; {
    $element.innerHTML = $element.innerText;
});


You should be careful, that only admins can change fields because this solution brings an XSS risk with it.

The disadvantage is that the labels are first displayed as HTML and only after the JavaScript has been executed are they displayed correctly.