Hi Lars, I tried setting up a Google Alert RSS feed and got the same issue happening. It's Google that's putting the tags into the feed item titles, which is not really expected. This may actually be a feature request for Feed Manager to strip HTML from titles as part of the "Filter Invalid Markup and Potentially Dangerous Content From Feeds" feature setting.
As a workaround, you could try working with Yahoo Pipes, to see if there's a way to strip those tags from the item.title element of the feed entries.
Jamie