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Unusual markup or control characters should not be used in translatable strings. Translators will likely not understand the particular meaning of the markup or control characters.
For example, if you have a convention that ‘|’ delimits the left-hand and right-hand part of some GUI elements, translators will often not understand it without specific comments. It might be better to have the translator translate the left-hand and right-hand part separately.
Another example is the ‘argp’ convention to use a single ‘\v’ (vertical tab) control character to delimit two sections inside a string. This is flawed. Some translators may convert it to a simple newline, some to blank lines. With some PO file editors it may not be easy to even enter a vertical tab control character. So, you cannot be sure that the translation will contain a ‘\v’ character, at the corresponding position. The solution is, again, to let the translator translate two separate strings and combine at run-time the two translated strings with the ‘\v’ required by the convention.
HTML markup, however, is common enough that it’s probably ok to use in translatable strings. But please bear in mind that the GNU gettext tools don’t verify that the translations are well-formed HTML.