A few characters don't appear properly when in Italic, for example:
The character that looks like a u with an accent should be й and the last alphabetic u (in bold and italics should be) и.
Any ideas why this is? It seems it may be an issue with displaying Cyrillic as Macedonian or Serbian.
This is an absolutely normal way of writing Cyrillic letter "и" in italic, at least in Russian language.
Many Russian letters may be written in somewhat different forms in italic. In other languages you have this too, e.g. in English you can write italic "a" in two ways:
(image from Wikimedia commons)
What you see is italic proper, and what you expect is oblique type:
Italic designs are not just the slanted version of the regular (roman) style; they are influenced by handwriting, with a single-storey a and an f that descends below the line of text. Some may even link up, like cursive (joined-up) handwriting. Obliques by contrast are "simply" sloped. In addition, italic styles are often quite noticeably narrower than roman type, while oblique styles are not.
Most common applications nowadays do not distinguish italic and oblique types (TeX being a notable exception); which of them you will get depends on the particular font you are using. There are fonts that have oblique type in place of italic, there are fonts that have italic proper.
