You are quite right that this is (essentially) the same case as with the Roman numerals. You just have the consequences backwards.
Because it is the same case, the different forms of alpha are treated the same as the Roman numerals by Unicode: they are compatibility characters, too, and you should not normally use them. If you take a look at the properties of U+1D7AA MATHEMATICAL SANS-SERIF BOLD ITALIC SMALL ALPHA, e.g. on FileFormat.Info (which takes this content from the Unicode character database), you see that it has a decomposition defined:
<font> GREEK SMALL LETTER ALPHA (U+03B1)
Which means that this character is a compatibility character, representing a normal alpha in a different font.
You mentioned U+B2 SUPERSCRIPT TWO. Have a look at its details:
<super> DIGIT TWO (U+0032)
And finally, look at U+2164 ROMAN NUMERAL FIVE and U+2165 ROMAN NUMERAL SIX:
<compat> LATIN CAPITAL LETTER V (U+0056)
<compat> LATIN CAPITAL LETTER V (U+0056) LATIN CAPITAL LETTER I (U+0049)