I'm afraid this is not a font problem.
It is a Unicode problem. NoteWorthy does not support Unicode.
One way to tell if a chracter is Unicode only is to paste it into NotePad. If you try to save it as Encoding:ANSI, NotePad will warn you about losing characters.
And while I'm at it: would it be possible to underline some text in the lyrics? The only options I see are "bold" and "italics".
Those are the only options provided. Here is an inadequate workaround:
!NoteWorthyComposerClip(2.0,Single)
|Text|Text:"Underlined text"|Font:StaffItalic|Pos:9|Placement:AtNextNote
|Text|Text:" ____________"|Font:StaffItalic|Pos:9|Placement:AtNextNote
|Note|Dur:4th|Pos:0
!NoteWorthyComposerClip-End