I've just downloaded the new plus. I roleplay (story write) with someone else over messenger and we have different coloured fonts and all that jazz to clearly distinguish who is saying what. With the new plus, when I copy and paste what we've done into a word document, I lose all that formatting where, before I downloaded the new plus, I've always kept in the past. Is it a setting I've accidentally changed or a plus bug or what?

You don't have to copy and paste to word.

You can just press File -> Save as and save in RTF document.

Then you can open it later in word.

See: messenger plus/WLM problem.