Welcome to InDesign's Footnote Feature. Unchanged since CS2, for better or for worse. This behavior, for example, has been there from the very start.
> Why, and how to deal with this?
Because Adobe Say So (which is a perfectly good reason, as far as Adobe is concerned!), and Deal With It Any Way You Can (which is the official stance of Adobe on this, and other related footnote complaints).
Me, bitter? Nah. See http://forums.adobe.com/thread/619776