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Yes surely, it makes sense that page number format would apply to an entire section. But footnotes are specific to the sentence they are placed after and not to the section.
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I understand what you mean, but a footnote consists of two things: the number in the body of the document and the text area (footnote area) at the bottom of the page. I don't know all the details on how this info is stored, but it is "bigger" than a single sentence or text paragraph.
I should mention that you can restart footnote numbers on each page (but you may already be aware of that). It may not help with your specific requirement.
It should also be noted that everything in Word is in a section. In a document without section breaks, there is a single section that contains the whole document. For more on section formatting in Word, have a look at the article
Working with sections (the principles discussed in the article apply, even though the details have not been updated for recent versions of Word).