You can tell msgbox, inputdlg, warndlg, errordlg, and questdlg (and maybe others?) to use a tex interpreter. They all default to no interpreter, I believe. Here is an example for msgbox:
CreateStruct.Interpreter = 'tex';
CreateStruct.WindowStyle = 'non-modal'; % you need to supply this field too. default is non-modal
msgbox('\bf This is bold', CreateStruct);