Just thought I would chime in
I have used html within our translation a few times,
Our latest we accidently used:
__("<li>Please enter an e-mail address.</li>","textdomain");
We had this there for about a month until a buyer pointed it out, then we changed it, this was a mistake but it still worked.
The only difference I have is that I have used double quotes which may or may not be making it work.
**** EDIT ****
Envato please sort our the pre tags, it drives me made that you can not use them correctly within comments and forums
I have had to show code with the html name instead of the < etc etc.
A simple algorithm sorts this out