I've seen such requests and those that need such typesetting control may be better off with typesetting or publishing software if Word can't do what you ask. Let's also check the CMOS for what an footnote is.
1. Footnotes are placed at the bottom of each page.
2. Endnotes are placed at the end of the paper.
Which flies in the face of what you are asking for. You are not asking for footnote or endnote. So Word is operating properly.
Microsoft Word only will allow the user to either post footnotes at the end of each page or endnotes at the end of each document. But what about if I am writing a book and would like to post endnotes at the end of each individual chapter instead of posting them all at the end of the book? Seemingly, Microsoft Word won't allow that. It will not allow me to enter a Page Break at the end of the first set of endnotes in order to add other chapters to the document. Cut and paste won't do, because it loses the automatic numbering sequence.