Visio is not really a 'header and footer' type of program. If you wanted something akin to header/footers to apply to multiple pages then you should be looking to do it the same way the Desktop version would do it:
1. Add a new page
2. Edit the page setup of that new page and set it as a Background Page
3. Add the header/footer content to that background page
4. Edit the page setups of the other pages to assign that background page to them

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Andrew Lockton
Chrysalis Design, Melbourne Australia