Regarding the appearance of the list in the message, if you select the text and click the code tags icon (octothorpe, or #) in the reply toolbar it will preserve indents and spaces. It will be labeled as code, but that's OK.
To your original question, I'm not clear as to whether the original document uses outline (multi-level) numbering or instead the numbers were written in manually (or that's how they showed up when copied from another source). I ask because I have not seen Word add two numbering schemes to the same paragraph. Not saying it couldn't happen (Word still surprises me, sometimes pleasantly and sometimes not), but only that I think I would have seen it by now in my own explorations.
If the numbering has been applied manually, you may be able to get most of it done with some wildcard find and replace. First, format Headings 1, etc. in the outline numbering format of your choice.
I can't tell from what you posted what the actual formatting might be, but assuming the I, II, etc. headings are at the margin (0 indent) you could do this as a wildcard F&R:

Find: (I{1,}.^t)(*^13)
Replace: \2
For the replace, also do Format >> Style >> Heading 1

The part enclosed in the first parentheses is to find one or more instances of the letter I followed by a period and a tab. The second parentheses searches for any text after that, followed by a paragraph mark (that is to say the Enter key was pressed -- note that ^13 is needed to find a paragraph when doing a wildcard search, otherwise ^p). The replace is the text of the paragraph followed by the paragraph mark (the Find enclosed in the second set of parentheses).

This will find only the Roman numerals I, II, and III. To find all instances up to 40 (XL) you could do:
([IVX]{1,}.^t)(*^13)
Note that the search will fail is there is no period after the number.

If the outline numbering is capital letters you could search for [A-Z]. If it is numbers, [0-9]. If there is a tab character you could add that to the search string using Special in the F&R dialog (or just use ^t). If it is a paragraph indent you could search for that using Format >> Paragraph in the F&R dialog. Just remember that searching for the paragraph formatting and such is "sticky", meaning that if you search for paragraph formatting indent 1" you will need to go back and clear that entry in the paragraph dialog box, or else F&R will limit itself to paragraphs with indent 1 (or 0 for that matter).

I'll leave it at this since I don't know for sure that it is what you are trying to do.