On this, I have to direct you here:
bugreport.apple.com
Please do register and ask Apple for support for RTF footnotes and images in their attributed string methods. They prioritise based on volume of requests, I believe, so the more that ask, the better. I don’t know what is in store for Leopard, but each release has seen significant improvements in the text system (tables and bullet points came “for free” in the Cocoa text system only with Tiger, for instance), so we can always hope.
To give you a brief explanation of why this is not possible for me to implement (or rather, Why I Won’t Spend A Year Of My Life Doing It,
)… First take a look here:
biblioscape.com/rtf15_spec.htm#Heading57
That is the RTF format for footnotes. If you delve into that, you will see that there are all sorts of settings and numerous other tags from throughout the RTF syntax that can be included. Now, it is relatively straightforward to add footnotes support to export: I use the normal RTF exporting methods from Cocoa but insert certain unique temporary tags that tell me where the footnotes should go, then I load the RTF file as plain text. I take the footnotes themselves and convert those to RTF separately (using the Cocoa methods again), then I insert them into the plain text RTF stream, replacing the placeholder tags and adding the necessary RTF syntax that says that this chunk of text is a footnote. Well, actually it’s a tiny bit more complicated than that, but that is the crux of it.
Now, going the other ways is more difficult. Whereas with export I can still use Cocoa’s RTF exporters to do most of the work for me and then just modify the generated file with just the bare minimum RTF markers, for import I would have to parse the actual RTF myself. Take a look at the RTF page I referenced above and see how easy you think that would be.
It would take months. The guys at Nisus and Mellel can do that because they have teams and they are working on dedicated word processors. But aside from the big word processors, no other Cocoa programs I know of can even export footnotes, let alone import them.
And then consider this: I could spend months implementing something like this only to find that Apple add it to their text system with the next OS release. Besides which, Scrivener is not intended to have all the bells and whistles of a word processor.
So this is why I ask you to go and register your request with Apple. If they add it to their text system, then everyone will be happy. 
All the best,
Keith