Microsoft has removed the Arial Unicode MS font from Word 2016, the only font included in Word that encompasses the Enclosed Alphanumerics subset (e..g, ①, ⓶, Ⓐ, ⓑ). 

As Allen Wyatt's Word Tips points out, "You could, of course, search the Web for a downloadable font that would include circled characters." You can read Wyatt's full tip on using the Enclosed Alphanumeric characters here.