The staff text "sfz" is not defined in the Playback Dictionary, and so has no effect on playback.
The Playback Dictionary defines "sf" and "fz" but not "sfz". "sf" is defined as a whole-word match, and so does not cover "sfz".
"sfz" is sufficiently conventional notation that it should have a playback definition.
Also, Sibelius First users cannot edit their Playback Dictionary.