[tomsem]

I think there is some mixup with the comments assigned to Kindle edition. One of the comments refers to a 'Penguin edition', which does indeed have these features, but the Kindle edition it links to is the one you bought, and is not published by Penguin. Hence it does not have the features of the Penguin (print) edition.

I would contact Amazon, get a refund, and look through some samples of the other "Paradise Lost" Kindle editions before making another purchase. And of course report the problem.

Recently Amazon declared war (again) on multiple copies of public domain material (in this case, that would just be the body of text, not introductions/notes, which may still be under copyright). It seems possible that in consolidating they may have accidentally linked the wrong things together. I usually just get PD books from Feedbooks or Gutenberg, as the formatting is more consistent and there aren't dozens of versions to sort through. Of course these will not include material that's in copyright, such as recent commentary or notes.

Footnotes aren't strictly speacking a feature of ebooks, as pagination is variable. Usually these will be gathered at the end of a chapter, or the end of the book, or both.
Typically these are implemented as hyperlinks that function like they do with a web browser: touch the reference and it will jump to the note. Most of the time the note will have a back-reference that you can touch to take you back to the previous location, but it is probably better to use the Back button (tap at top of screen to reveal this) so that things don't repaginate (there is a 'religious' view that navigating hyperlinks in an ebook should not repaginate, but Kindle always has. Other reading systems, e.g. Nook, don't). I like what Kindle does, because the note you are interested in appears at the top of the page, whereas on Nook it could be anywhere on the page (among other notes). And using Back re-establishes the original pagination.

Eventually HTML5 (epub3 at least, KF8 when Amazon adds support for it) will solve this problem as it has tags that tell the browser what a 'footnote' is. Then it is free to just use a popup window to display the note, without 'jumping' to another location.