I’ve found by myself 🙂
To send HTML private message, you must add :
[
edited – Please use the ‘code’ button when you post code.
Please note that removing that filter creates a major security risk.
It means user input WILL NOT BE SANITIZED.
So some very bad things can happen to your database.
]
remove_filter( 'messages_message_content_before_save', 'wp_filter_kses', 1);
To the bp-custom.php file.
I hope it will helps !