A family of Microsoft word processing software products for creating web, email, and print documents.
There are "switches" that can be added to XE fields to make the page numbers italic or bold or both (corresponding to the check boxes in the Mark Index Entry dialog), but there is no mechanism for making the page numbers superscript, even if that's what you wanted to do. Something in the document must be damaged to make that happen.
Additionally, there is no setting that makes the text of the index entry italic. That should happen only if the entry's text inside the XE field code is formatted as italic. Since your screen shots don't include the field codes for any of the entries shown in the index, I can't tell whether that's the case. If not, then something else is causing the unwanted italics; that something may or may not be related to the cause of the superscript numbers.