To reproduce:
string filePath = @"D:\Projects\1015954MenuItemHTML\1015954MenuItemHTML\Resources\calendar.png";
StringBuilder sbItem = new StringBuilder();
sbItem.Append("<html><b>aaa<img src=" + filePath + ">");
sbItem.Append("</html>");
RadMenuItem item = new RadMenuItem();
item.Text = sbItem.ToString();
this.radMenuItem1.Items.Add(item);
Workaround: use resource file: string filePath = @"res:_1015954MenuItemHTML.Resources.calendar.png";
This would be greate.