Once the page is synced to Zendesk, all formatting is removed and it shows as plain text.
This applies to cloud version.
Zendesk does not know about Confluence styles by default so you will need to add some styles to your Zendesk Guide.
We have a knowledge base article about this topic: https://kolibridigital.com/confluence-zendesk-sync/docs/macros/
Please reach out to support via e-mail if you have any questions, we're always happy to help