A JTextField doesn't allow html-formatted text like a JLabel. If you want selectable html text you could alternatively try a JTextPane set to html formatting:
JTextPane f = new JTextPane();
f.setContentType("text/html"); // let the text pane know this is what you want
f.setText("<html>Hello World</html>"); // showing off
f.setEditable(false); // as before
f.setBackground(null); // this is the same as a JLabel
f.setBorder(null); // remove the border
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