It isn't aligning automatically for me either and it doesn't look like the settings have any direct effect. I would recommend you add some kludge fixes to get your column alignment to your liking. For instance, add a paragraph mark at the end of the first footnote and you push 2 onto the second column. Or add two paras to the end of the third footnote and you push all three into the first column.

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Andrew Lockton
Chrysalis Design, Melbourne Australia