I think it may have been unofficially supported in earlier versions (in the sense that XML tags inside of help tags were unescaped), but I’m not sure when this stopped working. Hopefully one of the Enonic developers has more info. If you don’t get an answer here, you may create a Support Issue.
I may be wrong, but I can not remember this ever working. We do a sanitization operation on the Help text, in order to make sure the resulting HTML is valid, so ALL tags in the help field are removed.
Sorry about that. If this is really helpful to you, please submit a feature request, and we may allow certain tags that might be helpful to have.