Formatting (fonts, sizes etc.) are lost when you merge, regardless of the
connection type.

In this case you may be able to get around it by
a. cutting/pasting the sheet into a Word document (if there aren't too many
columns)
b. if the field in question is called xyz, instead of

{ MERGEFIELD xyz }

use

{ REF xyz } or just { xyz }

Longer term, it might be better to use the correct subscript in a Unicode
font that contains all the necessary characters - in that case, if you
connect using OLEDB and ensure that you use a suitable Unicdoe font in your
Word document as well, the subscript should get through.

Peter Jamieson