Your code is flawed, it repeats the inner loop on exactly the same thing multiple times. The Footnote References only exist in the Main Story so there is no point in looping through every story range.
You can't actually put footnote references in text boxes, headers, footers or footnote areas because Word doesn't allow it (although you can paste one in and it resets to 1) - so looping through the various ranges to find footnotes serves no purpose (and in fact errors in the below code).
Looking at the code issue, when you want to run a loop across each StoryRange you need to refer to that story range instead of the parent document (see the bold word in this code and compare with your code)
Code:
Sub FootnoteMark()
Dim oStory As Range, FtNt As Footnote
For Each oStory In ActiveDocument.StoryRanges
For Each FtNt In oStory.Footnotes
'do stuff
Next
Next oStory
End Sub
However, this inner loop will fail because Footnotes don't go into different story ranges - just the main body of the document. This means there is no point repeating the inner loop the same number of times as there are story ranges.