If the string contains [Pango XML markup][PangoMarkupFormat], you will have to set the #GtkLabel:use-markup property to true in order for the label to display the markup attributes. See also [gtk.label.Label.setMarkup] for a convenience function that sets both this property and the #GtkLabel:use-markup property at the same time.
If the string contains underlines acting as mnemonics, you will have to set the #GtkLabel:use-underline property to true in order for the label to display them.