Multi-select fields inherit the styling of wherever they're inserted into the document, except when using an HTML separator, such as Numbered or Bulleted List. When using HTML, Word converts the font of the field to the default Word font which is Calibri 11.
There are a couple of options to remedy this.
1. Change the font default in Word for that document:https://support.microsoft.com/en-us/office/change-the-default-font-in-word-2f50603b-9886-47e4-a483-48ac5ab80163
2. Set up Rich Text "helper" fields for each list option using the desired font. You can also add bold, italics, and underline styling.
Then, use Macros to reference these Rich Text fields as the values for the List Options in the Multi-select field.