how to render html link within dsm message?
You can't with dsm() I'm afraid, it's run through Krumo which encodes any special chars into HTML entities. Check out the dpm() documentation (which is called internally by dsm()) and follow the function trail through and it'll make more sense.

You'll have to resort to good ol' drupal_set_message():

$loglink = l("logs", 'admin/reports/dblog');
$msg= "See $loglink for watchdog messages";
drupal_set_message($msg);