When we print label on UI the HTML tags gets escaped by default due to security reasons. But if you are aware its static text then its ok to unescape html
Custom Label:

In AURA:
<aura:component >
<div style="padding-top: 45px;">
<aura:unescapedHtml value="{!$Label.c.TESTURL}" />
</div>
</aura:component>

