One of the unique things about PHP is that it serves the purpose of both a server-side language and a templating language. Ideally, your code would be separated into controllers and views, where your controllers are pure PHP (without any HTML) and your views are mostly HTML (with minimal PHP). When you're writing a controller, PHP is just like any other server-side language. But when you're writing a view, PHP becomes a templating language, in which case HTML should rule.
Another good reason to separate the two is syntax highlighting. In your first example, most editors wouldn't realize that the text within the string is actually HTML, so they wouldn't know to apply syntax highlighting. This means your code will likely be harder to read than it could be, making life difficult for subsequent developers.