What is fancy text?
Characters, not fonts
A font changes how letters look. Fancy text swaps each letter for a different character. π is not a bold A but its own character, U+1D400 MATHEMATICAL BOLD CAPITAL A, made for maths. Because it is a character, it keeps its look when you paste it where fonts cannot be chosen.
Why some letters are missing
Unicode has no small capital x, and subscript forms for only 17 of the 26 letters. The superscript q (U+107A5) exists but was added in 2021 and is missing from many fonts, so this tool leaves q plain. Letters that already existed elsewhere, like β (Planck constant) in italic or β in double-struck, are taken from there, which is why they can look slightly different.
Lines and glitches
Strikethrough, underline and Zalgo add combining marks after each letter. The letter stays plain, and the mark is drawn over or under it. How neat it looks depends on the font of the app you paste into.