When it says "Interpret HTML tags as styles" what it should really say is... "Interpret the following tags as HTML"
ie - only the following tags are interpreted in an RDL file
- Hyperlinks: <A href>
- Fonts: <FONT>
- Header, style and block elements: <H{n}>, <DIV>, <SPAN>,<P>, <DIV>, <LI>, <HN>
- Text format: <B>, <I>, <U>, <S>
- List handling: <OL>, <UL>, <LI>
Having said that - even if HTML is not interpreted, it will ignore the tags, rather than displaying them as text (as your question show) - which leads me to think that your HTML is encoded? Can you post the HTML as it comes out of the database?
Couple of other things...
SSRS only has limited support for the style tags
eg
SSRS will ignore RGB(66,66,66,) settings - you would need to use #666666
SSRS will ignore font-size in pixels - units needs to be in pts (eg 11pt)
SSRS will ignore line-height
But in your case, ssrs is not ignoring these tags/attributes, suggesting html encoding