Character Styles are not particularly well implemented on Word. You can't overlap them for instance - and a character style was applied to the footnote reference when you created it. Therefore if you then apply a different character style to the same content then the first char style is replaced by the new one.

When you apply a character style to text that has local formatting already, Word removes that local formatting while applying the character style - BUT you can THEN reapply local formatting such as superscript to that entry to see both the character style + those local attributes.

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Andrew Lockton
Chrysalis Design, Melbourne Australia