I've noticed this since I updated to 4.0d. It worked as expected in 4.0c. When I copy a section of a book and paste it into Microsoft Office Word 2003, the text in the body gets tagged with a superscripted footnote number, but in the footnote text at the bottom of the page, there is no superscipted number at the beginning of the footnote.
As a sanity check, I cut and pasted the same information from Logos 3 into the same Word document and it still works just fine.