Yes, Microsoft Office apps support the Apple Pencil and iOS 9 multitasking features. Microsoft's Kirk Konigsbauer actually demoed how the Office apps will work with the Apple Pencil at Apple's September 2015 keynote. You can watch the video below.
Microsoft even added a new feature to its Office apps called "Inking," for use with Apple Pencil. You can see a list of new iOS 9 and iPad Pro features here.
Remember, the Apple Pencil only works with the iPad Pro.