RobiNew, I'm almost sure, the code works on footnotes! The possible reason it doesn't work in your doc is your footnotes are not footnotes proper. To find out their StoryType, place the cursor anywhere on the footnote and run the following code:
Sub Story_Type_Sel()
MsgBox selection.range.StoryType
End Sub
The footnote, as you know, will have value 2. If you get a different value, change the main macro respectively. I had this kind of problem until I changed the value to 3 (wdEndnotesStory).
However, I admit I may be wrong.