http://www.dokuwiki.org/syntax#footnotes works fine for me too.
In my installation it doesn't work. I am using the latest stable dokuwiki version with the monobook template (I've also tried the default template before opening this bug report).
I've also tested with all custom plugins disabled. Now I found out, that the box is displayed, but about 300-400px above the cursor. Depending on the scroll position, I see the box or not.
Any ideas?