That behaviour is normal - a standard mailmerge transfers the data, not character formatting. If you need multiple formats, you'll need a separate data field and corresponding mergefield for each string in that format.
Alternatively, you might try using the older DDE mailmerge connection. To do that, see:
https://support.office.com/en-us/art...C-ACD027D92A00. Note: I'm not sure if even that will retain character formats. In any event, DDE is essentially what Macs use so, if the formats aren't being preserved there, I doubt switching to DDE on a PC would make any difference.