My newsreader displays your Roman numbers using MS Mincho, an Asian
unicode font. Unfortunately, FrameMaker does not support the entire
character range available in unicode.
As Andreas suggested, it is no big deal using combinations of standard
characters for Roman numbers. Unicode fonts include only literals from
I to XII and L, C, D, M, so you'll probably end up using combinations
anyway.
If you like the looks of the Roman numbers you get with Word, you could
create a character style in FrameMaker with a negative spread (e.g.
-10%) and a decreased stretch (e.g. 70%).
Regards,
Johannes