When displaying a message, the message body is formated using FORMAT_MOODLE (email/email.class.php:1418):

$html .= format_text($this->body, FORMAT_MOODLE, $options );

Messages are HTML, so the correct format to use is FORMAT_HTML (see http://docs.moodle.org/en/Formatting_options). With FORMAT_MOODLE some messages are not displayed correctly.