I agree John, it doesn't work for me in the footnotes either. The paragraph mark at the end of each footnote appears to be a protected species (we can find it but can't replace it with another one).
You might need to use a macro to do the task.
Code:
Sub FixFN()
Dim aFN As Footnote, aRng As Range
For Each aFN In ActiveDocument.Footnotes
Set aRng = aFN.Range
aRng.Collapse Direction:=wdCollapseEnd
aRng.MoveStart Unit:=wdCharacter, Count:=-2
aRng.Text = "). "
Next aFN
End Sub