After upgrading to CS5, several Word *.doc Documents I was trying to import to Indesign (CS5) were missing some of their footnotes. Luckily, a missing glyph warning was indicated where the missing footnote was supposed to be.
The problem appears to be a wrongly imported footnote reference marker and as a result, the footnote is not imported at all.
After trial and error, no matter what the import options selected, the problem persisted... until I tried to save the Word document in *.rtf format.
It appears there is a Bug in Indesign CS5 properly importing Word *.doc with footnotes.
As a reference, I'm working on Windows 7 (64) and Word 2007 (Document saved in Word 97-2003 *.doc format)
This is a known issue. Jongware has written (and complained) about it extensively here, and done quite a bit of analysis. The RTF solution is apparently not 100% guaranteed, but worth the effort.
I think placing in CS3, then exporting as tagged text or RTF from there has the best track record with really stubborn files.
I found this discussion 'cause I'm having the same problem. I place a Word document and it's missing more than 200 footnotes (in a total of more than 800).
In the meantime I tryed to open in CS2 (instead of CS5) and… it worked perfectly: all the notes where there!
I think I should post it here: maybe it can help someone.