No, that's for profile display only. If you want images actually in the dropdown you need a jQuery driven dropdown like jQuery Select2 or Chosen. You can convert a CB select field to select2 using our built in CB Select jQuery plugin using CB Auto Actions as shown below.
www.joomlapolis.com/forum/153-professional-member-support/236285-substring-search-in-cb-query-field-how-to-get-this-method#292473
However, you likely won't be able to use conditions from CB Conditional on that select field anymore. As for adding the HTML to the label you won't be able to directly. You'll have to use a language string then have the HTML in the language translation for that string.