How to theme help text of field groups in node form
Help text is run through content_filter_xss():

/**
 * Like filter_xss_admin(), but with a shorter list of allowed tags.
 *
 * Used for items entered by administrators, like field descriptions,
 * allowed values, where some (mainly inline) mark-up may be desired
 * (so check_plain() is not acceptable).
 */
function content_filter_xss($string) {
  return filter_xss($string, _content_filter_xss_allowed_tags());
}

/**
 * List of tags allowed by content_filter_xss().
 */
function _content_filter_xss_allowed_tags() {
  return array('a', 'b', 'big',  'code', 'del', 'em', 'i', 'ins',  'pre', 'q', 'small', 'span', 'strong', 'sub', 'sup', 'tt', 'ol', 'ul', 'li', 'p', 'br', 'img');
}