Doesn't work here, either. It looks to me as if the marker is being replaced by a copy of the punctuation, and I think it's probably a bug.
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You could download a script on indigrep.com to place footnote marker before punctuation (http://bit.ly/mm5CGL). See point d) Intervertir ponctuation et appel de note. I use it for CS4 and CS5.5.
Thank you so much! This works!
This script works much better than what I was doing with GREP as it can ignore parenthesis and quotation marks.
I am still qurious, though, why this GREP string doesn't work anymore.