OK, so since I din’t get any answers I was forced to dig into the code of the plugin and fix it my self.
I found that this file is used for sending the email s2member\includes\classes\email-configs.inc.php
and in line 242 just change
c_ws_plugin__s2member_email_configs::email_config () . wp_mail ($user->user_email, $sbj, $msg, "From: \"" . preg_replace ('/"/', "'", $GLOBALS["WS_PLUGIN__"]["s2member"]["o"]["reg_email_from_name"]) . "\" <" . $GLOBALS["WS_PLUGIN__"]["s2member"]["o"]["reg_email_from_email"] . ">\r\nContent-Type: text/plain; charset=utf-8") . c_ws_plugin__s2member_email_configs::email_config_release ();
to
c_ws_plugin__s2member_email_configs::email_config () . wp_mail ($user->user_email, $sbj, $msg, "From: \"" . preg_replace ('/"/', "'", $GLOBALS["WS_PLUGIN__"]["s2member"]["o"]["reg_email_from_name"]) . "\" <" . $GLOBALS["WS_PLUGIN__"]["s2member"]["o"]["reg_email_from_email"] . ">\r\nContent-Type: text/html; charset=utf-8") . c_ws_plugin__s2member_email_configs::email_config_release ();
The trick is Content-Type: text/plain; to Content-Type: text/html;. I don’t know why it is not done by default?!?
Hope it helps some one.