running the attached example shows, that already selected items are rendered using the HTML generated in the ItemRenderer, while the choices only display escaped markup.
When selecting a new value the escaped markup is added to the box in the escaped form.

the ItemRenderer API docs state HTML markup is possible http://www.zkoss.org/javadoc/latest/zk/org/zkoss/zul/ItemRenderer.html

When invalidating the chosenbox, previously selected items are lost.