I have CMenu and I try to add html tags to menu items label and like this

<?php $this->widget('zii.widgets.CMenu',array(
'htmlOptions'=>array('class'=>'nav navbar-nav'),
'items'=>array(
array('label'=>'Главная', 'url'=>array('/')),
array('label'=>'Склады <span class="caret"></span>', 'url'=>array('#'),
'itemOptions'=>array('class'=>'dropdown'),
'linkOptions'=> array(
'class' => 'dropdown-toggle',
'data-toggle' => 'dropdown',
),
...
),
)); ?>

Output show encoded html with html character:

Склады <span class="caret"></span>