The behaviour is by design. You can add a comment to the footnote reference in the document body, however.
The design limitation may be due to the underlying file structure - or because there's precious little demand for it. I've been working with Word for over 30 years and supporting forums for most of that. In all that time, it has been extremely rare for anyone to have an issue with being unable to add comments to footnotes themselves - I know of only one other instance.
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Cheers,
Paul Edstein
[Fmr MS MVP - Word]
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