In the LiveCycle AdminUI (the administration console on the server) go to Services > PDF Generator > File Type Settings
Once there, you'll see a few settings and one of them (most likely Standard) will be marked as the default.
Click the name of that default and you'll then see the settings screen for it. Down a bit on the left you'll see 'Microsoft Word', so click that to expand that section.
You'll see a bank of checkboxes, and the top one in the right-side column is "Preserve document markup in Adobe PDF(for Microsoft Office 2003 or later)".
Switch that option on and then scroll down until you see the 'Save As' button. Save your settings with any name you like, and you'll be returned to the screen with the list of settings.
Click the 'Set Default Settings' button you see above that list, and on the screen that appears choose your newly saved settings in the third option down.
Hit Save, and those settings are now saved and will be used as your default. So your markup should now be preserved.
Depending on how you're generating your PDF's this might not work for you. If you're using a process that specifically chooses from the various settings to use then you'll have to modify what that is choosing and you may not want to change the default at all after you create the new settings. I'll leave that to you.
Past that, I hope this gives you the results you're looking for.