An example of how to use the createInterpolateElement in React to properly translate a string containing HTML or a React component.

createInterpolateElement.jsx

// See https://developer.wordpress.org/block-editor/reference-guides/packages/packages-element/#createinterpolateelement

import { __ } from '@wordpress/i18n';
import { createInterpolateElement } from '@wordpress/element';

function MyComponent() {
    return createInterpolateElement(
        __( 'Please <Link>visit our site</Link> for more info.', 'text-domain' ),
        {
            Link: <a href="https://example.com" />,
        }
    );
}