I'm surprised it works as well as it does, and it may be a coincidence that it works at all.
The fundamental issue with putting text in MathObject PopUp menus is that they are currently handled using the standard HTML drop-down menu which is limited to displaying plain text.
If my understanding of MathJax (the underlying LaTeX renderer) is correct, then wherever possible it uses characters from the available fonts for math symbols, so for delta and epsilon it is using extended characters, and not any sort of graphics. You will definitely run into trouble if you try to enter complex mathematical expressions in a PopUp since this can't be done with just extended characters.
For now, I believe the state of the code is that putting anything beyond basic text in a PopUp list is not supported. In most cases I would recommend using radio buttons instead of PopUp lists if you want to include any LaTeX in the answers.