OK, we took a look, and there is either a plugin or theme function that is messing with how shortcodes are being processed. What you can do to FORCE it to work correctly is wrap the shortcode in a [raw] tag like so:
[raw][expand title="That is how the <sup>seahorse</sup> do"]this is a test, nothing to see here.[/expand][/raw]Strange... but it seems to work.