The ID version that imports footnotes without (as many) problems is not CS4 -- which I use on a daily basis, problems and all -- but CS3. It seems things got only worse with later versions, rather than better.
I've as much as given up *totally* on trying to import footnotes. Instead, I adopted the following workaround: always convert all footnotes to endnotes in Word; import into ID; convert endnotes back to Footnotes.
It's a hassle, but not as big as trying to import the same problematic document over and over, only to find it didn't work again.
The only thing this workflow stumbles on is when an author changed the note numbering style in Word. InDesign doesn't import it 'wrong' or 'not' or 'with errors', no, instead InDesign crashes.