In case if anyone faces the same issue as what I had faced..  here is the solution.

I figured out by myself that HTML isn't shown anymore on Pega 8.5.x onwards.  Not sure if this was an intended change in Pega.  However, we can still access the HTML rule by following the below steps.

Step #1: Go to Rule-Obj-HTML in App Explorer.  Click on the class in App Explorer will load the list of HTML rules available in the right side pane.  Click on any of the HTML rule that gets listed in the right side pane.  This will open up that HTML rule in Dev Studio.

Step #2: Go ahead creating your rule..  by clicking on Actions >> Create menu and provide the necessary class and ruleset information to create your new HTML Rule.

Please note, in case if your existing application doesn't have any HTML rules till date, Step #1 above might not have any rules listed.  Instead try to find if such HTML rules exists in any other application.  In my case, eventhough I didn't had a HTML rule, I was able to manage as Pega-BIX component had some HTML rules which were listed for me to work through.

Hope this information helps.