I've been using Notes for many years, and I've always found text selection to be a bit imprecise. Sometimes it has a mind of its own as to what it thinks should be selected. I don't think I've ever intentionally highlighted just the footnote, but I have noticed that at times that I could select a word without a footnote, and other times, it would automatically extend the selection to include the footnote.
If you'd like more precise marking options, I suggest using the Feedback link (when reading articles, scroll left panel all the way down to the bottom to find the link) and let the church know about your wishes. There's no guarantee they'll ever do anything about it, but that's how to get your thoughts to the decision makers. You'll likely get a standard response telling you to clear all your cookies, so I suggested clearing your cookies and using a private/incognito browsing window to verify the problem occurs after doing that. And when you submit the problem, let them know you've already cleared your cookies and the problem continues. You might still get the canned response telling you to clear your cookies, to which you'd need to reply that you've already done that.