Returning HTML to specified wrapper

With AHAH helper you should use a ahah_helper_path function, as in example ahah_helper_demo.module, which can be found in the module folder.
Like everywhere else AHAH helper also uses drupal_json(array( ... )); in a callback function.

drupal_json() is called at the end of ahah_helper_render() function. This is a page callback function registered to the 'ahah_helper/' menu path. This function performs some routine actions and rebuilds the form.

drupal_json() generates output that is sent to the user without modifications.

I think there are two ways to do that, without modifying source code.
You can insert your html directly into the form. You gonna need hook_form_alter or hook_form_ID_alter to do that. Simply add a new element to the form like this:

function mymodule_form_alter(&$form, $form_state) {
  $form['my_custom_html'] = array(
    '#value' => 'html here',
    '#weight' => 40,
  );
}

Whatever you put into #value is rendered without changes. The #weight parameter can control the position of you html in the form. With different #weight values you can put it at the beginning, end, or somewhere in the middle.

Or you can implement you own 'status_messages' hook in your theme, that will output these messages as usual, and add some html when you need it.
This is not the best idea, but still should work.