I've registered the same behaviour: Any stylesheet references are ignored in footnotes. (I wonder if <span style="font-style:italic"> works, by the way?)
I've also noted that if the footnote includes an image, the footnote does not pop, you are directed to the href target as if it was an ordinary link. So if I have stylesheet formatting in the footnote I really want the reader to see, I include a dot-size graphic in it.
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