The method that processes the message to be sent out is ir.mail_server.build_email. It can be found in addons/base/ir/ir_mail_server.py. The code comments mention the messages are created to RFC2822 which is specific to text emails. So to answer your question, HTML isn't supported for these automatic emails.

That being said, for Python applications, including HTML support in email messages is trivial. (see here. You (or someone) would just have to write a module for it.