You need to do below changes to achieve your requirement.
vendor/magento/module-checkout/view/frontend/web/template/shipping-address/shipping-method-item.html
To override it you need to create the same file in your theme:
app/design/frontend/PACKAGE-NAME/THEME-NAME/Magento_Checkout/web/template/shipping-address/shipping-method-item.html
After you have to change the "text" attribute into an "html" for the method title:
Before:
<td class="col col-method"
attr="'id': 'label_method_' + method.method_code + '_' + method.carrier_code"
text="method.method_title" />
<td class="col col-carrier"
attr="'id': 'label_carrier_' + method.method_code + '_' + method.carrier_code"
text="method.carrier_title" />
After:
<td class="col col-method"
attr="'id': 'label_method_' + method.method_code + '_' + method.carrier_code"
html="method.method_title" />
<td class="col col-carrier"
attr="'id': 'label_carrier_' + method.method_code + '_' + method.carrier_code"
html="method.carrier_title" />
Final Code:
<!--
/**
* Copyright © Magento, Inc. All rights reserved.
* See COPYING.txt for license details.
*/
-->
<tr class="row"
click="element.selectShippingMethod">
<td class="col col-method">
<input type="radio"
class="radio"
ifnot="method.error_message"
ko-checked="element.isSelected"
ko-value="method.carrier_code + '_' + method.method_code"
attr="'aria-labelledby': 'label_method_' + method.method_code + '_' + method.carrier_code + ' ' + 'label_carrier_' + method.method_code + '_' + method.carrier_code,
'checked': element.rates().length == 1 || element.isSelected" />
</td>
<td class="col col-price">
<each args="element.getRegion('price')" render="" />
</td>
<td class="col col-method"
attr="'id': 'label_method_' + method.method_code + '_' + method.carrier_code"
html="method.method_title" />
<td class="col col-carrier"
attr="'id': 'label_carrier_' + method.method_code + '_' + method.carrier_code"
html="method.carrier_title" />
</tr>
<tr class="row row-error"
if="method.error_message">
<td class="col col-error" colspan="4">
<div role="alert" class="message error">
<div text="method.error_message"></div>
</div>
<span class="no-display">
<input type="radio"
attr="'value' : method.method_code, 'id': 's_method_' + method.method_code" />
</span>
</td>
</tr>
Finally you will be able to add html tags to the shipping method title via admin panel without issues on the checkout page.
Admin :- https://prnt.sc/19nt7v8
Output :- https://prnt.sc/19ntapz
Please check.
Cheers!