Calibre retains styles ok. It names them after whatever was in the CSS. Seems just Word doesn't like anchor names. Links are retained but since they point to htmlfile.html#anchor, that doesn't work too well.
The only other word processor I can think of that might be worth a try is WordPerfect.
Who knows, this one book I'm trying to convert is one I'll look at often so maybe I'll convert the footnotes myself. It's just there are about 600 of them.
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