Word – Change the comment font in Microsoft Word 2007

Apparently you can't, see "Change the way that markup is displayed". Microsoft says:

you can't assign specific colors for changes made by different reviewers

You cannot "set" this, but you can use find and replace to apply a character style (or font directly) on what is matched.

Select the "More>>" button to see the option to search with wildcards, then use ([0-9]{1,}) to find sequences of 1 or more digits (see the help for more details on wildcard patterns). Use \1 in the replacement to just keep the same text.

Under the replace group in the dialogue there is a "format" button, use this to select the format you want to apply.