I made my own test and confirm – Gutenberg ignores unfiltered_html even with special option activated, while classic editor does not. I will investigate if I it’s possible to fix this via some WordPress hook.
I found the reason why unfiltered_html works fine from the classic editor, but does not from the Gutenberg. Fortunately, it belongs not to the Gutenberg, but to URE Pro itself. It applied ‘unfiltered_html’ for WordPress admin only using is_admin() function. But Gutenberg saves changes via WP Rest API using AJAX. Admin screen is not defined in this case.
I will include the fix into the next update.
Quick fix: open user-role-editor-pro/pro/includes/classes/user-role-editor-pro.php, go to the line #263 (located inside function allow_unfiltered_html()) and replace this code: