Thank You Bjørn for this example!
I have used in my nearly 30 years of FM multi-column layout only for TOC and IX - and there are no footnotes... But I'm also puzzled about this effect. But as usual it is reasonable in most cases, but not in all:
A paragraph spanning "all columns and side heads" has the same effect as the end of the text frame: columns start afresh. And since the footnotes are an object of the column, they must appear before the "new column" starts.
Wondering what TEX would do in this situation - for me it is the reference of layout for scholarly texts - I found this:

But this requires special macro packages (added to LaTEX) and a special set-up (about 10 introductory commands in the document).
I have however not seen any scholarly text with this sophication. The authors obviously did not take the effort for this sort of layout - although the text with the graphics was set in two columns.
Maybe someone else can give a hint what InDesign would provide.