This change was intended and was due to security - there was an XSS attack possible. The support for this was removed in hotfix no. 159:
Stored XSS in Checkbox form component
Description
The Checkbox component in form builder was vulnerable to Cross-Site-Scripting attack (XSS). To eliminate this vulnerability, support for HTML in Checkbox component was removed.
I am afraid but if you want to have HTML in the labels, you will have to create your custom form component.