Footnotes in the wordpress export look like this for me:

text<sup data-fn="d47ee556-3faf-44c3-9949-3a1ae45f11f9" class="fn"><a href="#d47ee556-3faf-44c3-9949-3a1ae45f11f9" id="d47ee556-3faf-44c3-9949-3a1ae45f11f9-link">1</a></sup>

with one of several wp:postmeta sections describing it like this:

                <wp:postmeta>
                <wp:meta_key><![CDATA[footnotes]]></wp:meta_key>
                <wp:meta_value><![CDATA[[{"content":"The Footnote Text","id":"d47ee556-3faf-44c3-9949-3a1ae45f11f9"}]]]></wp:meta_value>
                </wp:postmeta>

The conversion currently only keeps the a href portion, pointing to nowhere (that is, to the anchor #d47... which isn't present).

Not a priority for me, since my set of footnotes is so tiny that I just deal with them manually, but maybe something you want to implement?