Field labels in Views are assuming plain-text input and they are probably using check_plain() to encode special characters (didn’t actually look at Views back-end).
How can HTML code be used inside labels?
Edit: I thought my question is clear. I don’t want to rewrite fields, I want to use HTML code inside a label, that’s all.
I figured it out. While you can’t use HTML input inside labels on the Views UI, you can customize a label inside a style output template.
e.g. for an “example” view that uses a table style output you would customize
views-view-table--example.tpl.phpand use a code like: