How to use HTML in a webform component's title?
At first, I misread your question and created Issue #3036393: Allow basic HTML markup in element titles. 

Checkboxes do support HTML markup.

The below YAML…

checkbox:
  '#type': checkbox
  '#title': checkbox&lt;sup&gt;sup&lt;/sup&gt;
checkboxes:
  '#type': checkboxes
  '#title': checkboxes
  '#options':
    one: one&lt;sup&gt;sup&lt;/sup&gt;
    two: two&lt;sup&gt;sup&lt;/sup&gt;


…renders via Bartik as…



If you can replicate and document this issue, please create a ticket on Drupal.org.