Ah, sorry, I had forgotten there could be an issue with this approach on Windows. This capability is indeed hampered by a noted bug in the Windows version.
Since the bug involves hyperlinks splitting the footnote into multiple pieces, around each link, you can in fact avoid the bug by going into the General Options tab in the compiler, on the right side of the main window, and looking for the Remove all hyperlinks option. If the intended output is print, that should be fine anyway, and in fact maybe even desirable, as who wants grey underscored text in their book. 
The tokens will still evaluate though, with the links being stripped dynamically in this fashion. A link to “Refer to Red Book (pg. <$p>)” will compile to “Refer to Chapter Two (pg. 6)”, for example, if that is how the section layout would print section headings for it.