How do I insert a   tag inside the   tag on my main menu
Rather than building the anchor tag, and passing the result of url() to check_plain(), you should call l(), which builds the tag for you.
Remember to set $options['html'] to TRUE (where $options is the last parameter passed to l()), when the string you pass as first argument to l() contains HTML tags; by default the function assumes $options['html'] is FALSE.