THTMLabel enables message dialog with HTML formatting and allows formatting to be set during design time. HTML preview property editor is included. It requires THTMLabel installation.

However, I must note that to use this software, you need to install THTMLabel. It's understandable, considering the software's functionality, but it might be a downside for those who don't have THTMLabel installed or are not familiar with it.
Overall, I think this message dialog software is worth considering if you need to display messages with HTML formatting. It's easy to use and the ability to set HTML formatting during design time saves time and effort.
Version 1.3.0.1: New: RAD Studio XE2 support