There is nothing wrong with your loop as it is doing exactly what you are telling it to do.
Word headers and footers are sort of like the old player piano sheets that form a continuous loop that repeats over an over again. Unless you break the link between new sections when you add them the contents will just keep piling up. Unless broken the first section header is sort of linked to the last section header.
Code:
Sub AddFooter()
Dim i As Integer
ActiveDocument.PageSetup.OddAndEvenPagesHeaderFooter = True
For i = 1 To ActiveDocument.Sections.Count
ActiveDocument.Sections(i).Footers(wdHeaderFooterPrimary).LinkToPrevious = False
ActiveDocument.Sections(i).Footers(wdHeaderFooterPrimary).Range.InsertAfter "Odd Footer Section " & i
ActiveDocument.Sections(i).Footers(wdHeaderFooterEvenPages).LinkToPrevious = False
ActiveDocument.Sections(i).Footers(wdHeaderFooterEvenPages).Range.InsertAfter "Even Footer Section " & i
Next i
End Sub