Do you have your tracked changes set to mark formatting changes?

Yes, formatting is checked. And if I, say, underline text, the change shows up.

I just tried to reproduce this (Word 365, so not the same version) and I can't. When I highlighted just the text within quotation marks, I got the tracked change marked, and the individual quotation marks (which had converted themselves to smart quotes) didn't pick up the italics...only the words inside them.

If this happens again, check that All Markup is selected to show. With Simple Markup, it just gave me the vertical line, but I could see it was changed at least. You might also use Reveal Formatting (Shift + F1) to look and see whether you were applying italics on top of a Style, and if so, what.

- Ann