What you describe is the normal behaviour, however you can establish whether the font is italic before unlinking then reapply the italics if required e.g.
Code:
Sub UnlinkFormFields()
Dim oFF As FormField
Dim oRng As Range
Dim i As Long
If Not ActiveDocument.ProtectionType = wdNoProtection Then
ActiveDocument.Unprotect Password:=""
End If
For Each oFF In ActiveDocument.FormFields
i = Len(oFF.Result)
Set oRng = oFF.Range
If oFF.Range.Font.Italic = True Then
oRng.Fields.Unlink
oRng.End = oRng.End + i
oRng.Font.Italic = True
Else
oRng.Fields.Unlink
End If
Next oFF
lbl_Exit:
Set oFF = Nothing
Set oRng = Nothing
Exit Sub
End Sub