Thanks for the precise report.

> Is the setting
> 
> (defconst footnote-latin-regexp "¹²³ºª§¶"
> ...
> 
> correct?

No.  Please try the attached patch.  If my mailer mangles the
characters try to set them by hand (I renamed footnote-latin-regexp
to footnote-latin-string and defined footnote-latin-regexp anew).