The tags behavior has been changed since 9.1. Html tags were disabled in 9.1 due to a security reasons. So, PPM 9.1 doesnt support HTML tags in field prompt or captions.
So, what you are seeing is the expected behavior. It may work, though PPM has never been certified for use this way (so can't be supported) so then if there's an upgrade or something in this nature, things might work differently, different behavior, etc.
Per discussions with PPM RnD department they will include this back. Ther is an Enhacement Request loggd to inlcude this in next PPM version:
QCCR1L43702 HTML color tag in field prompt does not work in 9.12
Regards, Jonathan (Remember to mark the topic as solved and provide kudos if a post answered your query)