Formatting & Page range not generated in Index

Thanks, those materials were very helpful in figuring this out. I'd never manually used the Insert Index Marker tool in MS Word, so I didn't know that one could specify that number being bold or italic. InDesign's indexing tool works differently, in that you can assign a character style to all page numbers in the index, and you can also choose a "number style override" when inserting a new index entry.

So, you could simulate Word's behavior here by making your own bold number style,  but I don't see a way to get InDesign's Word import filter to reproduce it. Similarly, there are a few ways to mark a page range in an index in InDesign, but none of them seem to be like the bookmarks in MS Word. You could make some custom paragraph styles and use those styles to define those ranges, but once again that would be a manual task to be performed after placing the indexed Word document, not something you could get InDesign to do natively upon placing. 

If you have the time or resources, you may want to look at writing a VBA script to apply carefully named character styles in Word to all index-related stuff. Then it shouldn't be too hard to automate changing the page-reference types of your markers in InDesign after import with some Javascript. I have taken a look at a few manuals for InDesign plugins or scripts meant to improve upon InDesign's native indexing tools, but I've not spotted anything specifically about improved Word document index import in what I've seen. 

You should also go over to the InDesign uservoice and vote on the topic of page range references in Word index importing. I don't expect rapid movement from the developers on this issue, given that there are only a few votes asking for this feature, but I think it's worth a click.