Should these symbols be italicised?

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Differentials should not be italicised according to ISO standards $$ \int f\,dx \Rightarrow \int f\,\mathrm{d}x $$ But should these symbols be italicised?

  1. Continuous functions: $C(X,Y)$ vs $\mathrm C(X,Y)$
  2. Imaginary unit: $i$ vs $\mathrm i$
  3. Lp spaces: $L^p(\mu)$ vs $\mathrm L^p(\mu)$
  4. Subscripts: $C_c(X)$ vs $C_{\mathrm c}(X)$, $\lVert\cdot\rVert_u$ vs $\lVert\cdot\rVert_{\mathrm u}$
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Language is determined by actual usage, not by "authorities" (who are generally viewed by linguists as describers, not prescribers). See, for example, What Is 'Correct' Language, from the Linguistic Society of America.

Technical language is no different in this regard from ordinary language.

From what I've seen, mathematicians, at least in the U.S., tend to use an italicized $d$ in a differential (and this can be seen in the house style in many mathematics journals), whereas engineers and physicists generally use a roman $\mathrm{d}$ (the latter in accordance with what ISO says is the standard).

As for the specific symbols you mentioned, I would look at common usage in the journals that you would like to publish in; also, take geography into account because there are regional differences in typography as well. One final remark: Use your own personal sense of esthetics too.