More explanations
\S+ Matching anything in italic except the space, so it will matching every word in the italic line
[\S]+ Matching the end of the italic line, because we don’t need matching every italic word, but we need “Finding partial words in italics” as in the title!

There is no difference between the code dot .+ and this regex, but I usually use this because it’s faster than the dot in search. (For me)
By the way, in this particular case, you can use many other codes or regex to catch the same result:
.+
\C+
\p{any}+
\p{assigned}+
[\V\v]+
[\W\w]+
[\H]+
[\D\d]+
[\S]+
or [\S]+

Actually you can use global change for convert all words to italic:

1.
in Find: [\S]+
in Find Format: italic
in Change: $0~j

2.
in Find: \p{l*}*~j\p{l*}*
in Change Format: italic

By 3 steps in GREP tab of Find/Change window:

1. Add non joiner to the end of the italic:
in Find: [\S]+
in Find Format: italic
in Change: $0~j

2. Find non italic
in Find: ~j\p{l*}+
in Change Format: Italic

3. Delete non joiner character
if Find: ~j
in Change: Leave empty

There is a useful script for this issue by LFCorullón Scripts “Change Case By Style”:
https://corullon.com.br/scripts/?s=Change+case+based+on+style

Make character style for “Gill Sans Std” font family
then use GREP Style for number 1 with the character style

Hello David!
Yes that’s right
\S All characters except Spaces, breaks, separators, right indent tab, and indent to here
Horizontal whitespace including tab

Use this: \$.+?\(\K.+?(?=\))