Well I got a response from Tech Support:
We are starting to receive feedback from IT on the list of issues we've raised and unfortunately the base href tag will remain filtered for security reasons.
We have raised the issue with the li and option tags which was also raised by another ZenCart merchant and hope it will be possible to resolve this particular issue, please accept my apologies for any inconvenience caused by this in the meantime.
I believe I will start looking for another gateway...
Khalil
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