The Log In Message pluging doesn't seem to like HTML hrefs embedded - the display just cuts off, when you actually look at the page. I haven't tried any other tags.
For example, I used a version such as this:
Welcome to xx. This site is not open. Please a target="_blank" href="http://xxx.org" to go to our public site.
(I am removing the brackets for the purposes of this example.
But the display on the actual login page stopped after the word Please.