If you want to show html then you’ll need to put the HTML entities into the label. Either that or filter the label when loading the field. Something like this should work
add_filter('acf/load_field/name=your-field-name', 'acf_label_htmlentities');
function acf_label_htmlentities($field) {
$field['label'] = htmleneities($field['label']);
return $field;
}