Add span inside <option> tag and style it

This will depend on your web browser. In the latest version of Firefox, it works fine. However, it doesn't work in the latest version of Internet Explorer.

Your question is a bit loaded - and I suspect that's why it got downvoted - you are asking why it's not working, rather than how to get it to work.

It's not working because it's not really a supported feature of selectboxes (yet!)

I'd suggest you look into using JavaScript to achieve the same result (and specifically, the jQuery UI selectmenu) which should support this type of 'advanced' select box.