Further to this I have found out if the text is just e.g. Profit & Loss, it doesn't work. However if it is <p>Profit & Loss</p>, it does!
For performance reasons, the HTML engine in TTMSFNCHTMLText is only used when HTML tags are found in the text. It is the HTML engine that processes special characters like &, so you'd need to add at least one (dummy) HTML tag if you want these special characters to be processed;
Ok, thanks. Now I know it is not a problem.