This is an issue with Microsoft.  
https://support.microsoft.com/en-us/kb/212349

The data within The Raiser's Edge is exporting correctly and inserted as fields into the document.  The fonts themselves are a functionality of Microsoft Word and are outside the scope of Blackbaud Product Support.

The Microsoft Knowledgebase articles contain steps to correct the font.  If Blackbaud hosts your RE database, these solutions will not be available to you because you will not have access to the Normal.dot template or the font files.  The letters will need to be merged and saved and then the fonts changed to the desired font.  

Note: We provide links to third-party websites in an effort to help you resolve your issue. We are not responsible for the information on third-party websites and we cannot assist with implementing resolutions from these websites.