I am back and will take a look at the suggestions from Turtle tomorrow.
What do you exactly mean Start? It does not matter if you have _<i> or <i>_. The render will pick it up as _<i>. The same applies for the closing tags. It remains a question if you want to include your quotes, comma's, question marks and so on. It is quite possible to create a small macro that colorizes the bold/italic things in the document. A kind of premacro to check before conversion.
I am not quite sure what you mean with the <p>& nbsp;</p>. If you have an empty line in Word, it will gets converted to <p>& nbsp;</p>. Multiple spaces will be ignored in HTML.
Your last question is yes and no. As you know, there is a check dialogues macro which finds almost all broken dialogues. I believe your question is about languages which uses chevrons as dialogues markers. However, this macro needs overhaul end when I do I will include chevrons.