MvcHtmlString (or HtmlString, or anything that implements IHtmlString) is for strings that should be emitted as HTML verbatim - i.e. by making that an MvcHtmlString you're telling it that you actually want those HTML tags.
The difference is when you emit the string into an ASP.NET page using (new in ASP.NET 4 or later). In that case the ASP.NET engine will automatically HtmlEncode regular strings for you (or anything that doesn't implement IHtmlString) whereas the MvcHtmlString will be emitted into the page verbatim / unencoded.
i.e. I think the documentation is wrong. There's a connect ticket with the equivalent error in the HtmlString constructor documentation, which they did fix. (I thought I filed that :-/ maybe mine got closed as a duplicate of someone else's?) I didn't notice the MvcHtmlString documentation was wrong too.