Because of the way that Mobipocket is a reflowable format, you will find that footnotes do not work. They work best as end notes. Same goes for any reflowable format such as LRF or eReader.
Now what you can do is clean up your eBook in Word and then load it into Book Designer. After you then do anyy cleaning up/formatting needed in there, you can follow HarryT's directions on how to make a proper Mobipockert format eBook and once done, you'll be al set. I suggest reading the entire thread at
https://www.mobileread.com/forums/showthread.php?t=17914 and it will teach you what you need to know.