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With the Word export, we're basically bound to what Apple provides us in their frameworks. However, these are quite outdated. This means that features like styles (in Word) are not possible as far as I know. Writing a whole export engine for Word files just for these features is also cumbersome, unfortunately.
In Ulysses 3, the next version of our editor, you will see some new features regarding export but I can't give you any guarantee whether these styles will be included, sorry.