Maybe, but what exactly is “preserved”?
The OP’s screen capture shows nothing. It could be a “2” superscripted through the Font dialog. It could be a proper Unicode character with code “U+00B2”.


If I copy a “2” superscripted through the Font dialog, use “^c” in the Replace With box, then press Alt+X to reveal the code of the replaced superscripted “2” in the document window, I get “0032”.
On the other hand, if I copy a proper Unicode “SUPERSCRIPT TWO” character, use it in the Replace With box, the character that gets replaced (pasted) in the document window actually is Unicode “00B2”.