How do I output HTML in a message in the new Django messages framework?

Another option is to use extra_tags keyword arg to indicate that a message is safe. Eg

messages.error(request, 'Here is a <a href="https://stackoverflow.com/">link</a>', extra_tags="safe")

then use template logic to use the safe filter

{% for message in messages %}
    <li class="{{ message.tags }}">
    {% if 'safe' in message.tags %}{{ message|safe }}{% else %}{{ message }}{% endif %}
    </li>
{% endfor %}