I defined the response of the Conversation service as described her: http://www.ibm.com/watson/developercloud/doc/conversation/dialog_ovw.shtml#dialog_create in the big advanced editor window.
"output": {
"text": "Visit IBM Support <a href=\"http://www.ibm.com/support\">here</a>."
}
However, the editor is in a red-colored frame and when I click on the twistie twice the original text appears and the HTML text is gone.