I'm using Word 2016.
I'm not sure to understand what you mean by "Go to Footnote" . Is it a PDF-XChange Editor feature or a PDF standard ?
Just to make sure, the problem is not with the DOCX document but with the PDF document. If it is a problem !
For my part, the little numbers I'm talking about are those on the left of the footnotes in the list that you circled in red (superscript number).
If I click one of those little numbers I can't return to the main text where I came from when clicking a little number in the main text.
As an example, if there is footnotes on a web page, you can click first on the little number in the main text to get to the footnote. From there you can click on the small number at the left of the footnote to return to the main text where you came from.
Here's an example from an academic journal. This article has many footnotes. If you click one those little numbers in the main text you get to the footnote in the bottom of the page. From there, you can get back to the main text to continue reading by clicking the little number at the left of the footnote.
But maybe this is not a PDF standard.
I know that I can use ALT-Left Arrow
to return to the last position in a PDF file, but this is not a trick that my website visitors know necessarily and this is not exactly what I need.
I hope I am a little bit clearer.