@paulo, Just updated to 2.11, and the issue is still present.
@paulo, What about links within the caption in the Header? To apply the Transformer rules to it, take a look at this pull request.
Yes, that’s the same thing that happens for me. The markup gets escaped from <i> to & lt;i& gt;, so that it displays as plain text.
It looks like the Transformer rules only apply to the content of the post. They don’t affect elements in the Header, like the main image caption that maxxnz mentioned.