.InsertAfter deals with strings not formatted text so you can't use that. Try this instead
Code:
Sub AddFnTextInBodyOfDoc()
Dim f As Footnote, r As Range
For Each f In ActiveDocument.Footnotes
Set r = f.Reference
r.Collapse wdCollapseEnd
r.InsertAfter "$%%$"
r.Collapse wdCollapseStart
r.MoveStart Unit:=wdCharacter, Count:=2
r.FormattedText = f.Range.FormattedText
Next f
End Sub