The Swans are bidding to lift their first major piece of silverware in their 100-year history, while Bradford are the first team from the fourth tier to reach the final in over 50 years.
But for Michu, there is no room for sentiment as Swansea aim to set the seal on what the Spanish forward describes as a "fantastic season".
"I am very excited," said Michu.
"We are favourites for the final, but no one here will be taking Bradford for granted. Look at the teams they have beaten to get to the final - Wigan, Arsenal, Aston Villa over two legs.
"These are among the top 20 teams in England, so Bradford have proved they have no fear against the bigger teams. But that's what I love about the cup competitions here. The underdogs can beat the big clubs.
"In Spain, that rarely happens. For a fourth tier team to get to the final in Spain? Well, that's impossible. But in England it can happen, as we have seen.
"On Sunday, though, we are determined not to let the underdog win. We have had a fantastic season in the league, so to win a first major trophy for the club as well would make it even better."
Michu added that the support of the fans will be crucial after hearing his team-mates reminisce about the Championship play-off final in 2011.
"Ash, Leon and Monks have spoken about the atmosphere at the Play-Off Final. They said the supporters were amazing and made an incredible amount of noise," added Michu.
"I can't wait to run out at Wembley - one of the best stadiums in Europe - and hear the Jack Army getting behind us."