WooCommerce: allow HTML in shipping option labels

functions.php

<?php
// Paste everything below this line to your child-theme's functions.php file.

// Cancel sanitizing for all shipping option labels starting with 'HTML:'.
remove_filter('woocommerce_shipping_rate_label', 'sanitize_text_field');
add_filter('woocommerce_shipping_rate_label', function($label) {

    if (substr_compare($label, 'HTML:', 0, 5) === 0) {
        $label = ltrim(substr($label, 5));
    }
    else {
        $label = sanitize_text_field($label);
    }

    return $label;
});