What is the correct way to write roman numerals with superscript? Should the convention of the language be used or the latin convention?
At least in the inscriptions that I've seen, there's no particular indication at all – it would just be understood from context that an ordinal rather than cardinal number is required. For example, the grave inscription of a man named Rufus Site who served in the sixth cohort says:
RVFVS SITA EQVES C[o]HO[rtis] VI ...
(This inscription is CIL VII,67; there's a not-very-clear photo in Alison Cooley, The Cambridge manual of Latin epigraphy, p 379.)
In printed texts, though, ordinals are often represented by using a period after the number, as is the convention in, e.g., modern German (VI.). For example, from the Oxford text of Caesar, De bello civili 3.62:
ad eas munitiones Caesar Lentulum Marcellinum quaestorem cum legione VIIII. positum habebat.