It is not possible by default. That is a limitation of Word, not of the xslt.
I had lengthy discussions about this with people from MS. They claim it should work but they never provided any proof. I did illustrate that each of their suggestions (just use the superscript tag, use a span, ...) do not work for in-text citations. They
do work perfectly fine for bibliographies but not for in-text citations. I went the extra mile and even tried some funky things like overwriteing one of the working tags (e.g. b)
For now my best guess is that the problem is situated around the font sizing which for some reason can't be overridden. And you need to lower the font size to display superscripts.
I do believe that their might be a more permanent solution but without an explaination on how the sanitization of the html is done inside Word, it is almost impossible to guess. And I doubt they will give me a peek at the source code :-)
So you are stuck with the workaround from the FAQ. If you run it only once at the end of your document it is enough, so it is not that much of an issue.