Click More, then click Format or Special, depending on what you need to replace. If you need to match case, click Match case on the main Find and Replace dialog.

Read all the options so you can see what's available. The only problem I've ever had was finding and replacing symbols.

Highlight is one of the Format options, so select it when you create Replace With - in other words, select Highlight when your cursor is in Replace With and format the text accordingly.

Subscript is one of the Font options. I don't think you can replace one character in a text string as subscript, though. You'll need to do that in steps - create OH as subscript, then go back and replace any subscript "O" with regular "O". That leaves the "H" as substring.

Edited: Actually, I played around with it and it didn't seem to work the way I thought it should. I created subscript, then went back to replace one letter in the string. Even after I set the Replace With font to "Regular" and selected 11pt, it still remained very small, like the subtext. Maybe it's something you'll need to play around with.