I defined the response of the Conversation service as described her: http://www.ibm.com/watson/developercloud/doc/conversation/dialog_ovw.shtml#dialog_create in the big advanced editor window.
"output": {
"text": "Visit IBM Support <a href=\"http://www.ibm.com/support\">here</a>."
}
However, the editor is in a red-colored frame and when I click on the twistie twice the original text appears and the HTML text is gone.
Based on the comments above, the answer is that when defining the response for the Watson Conversation service, the original input requires (at least) an outer '{' and '}' so that it is a syntactically correct json file.