Only the comment colour can be changed, so in this case selecting both comments and footnotes together won’t matter. In Scrivenings mode, select one comment, then Cmd-A to select all the comments and footnotes in the inspector, and Ctrl-click to access the comment context menu and change the colour. The footnotes won’t be affected.
That will however set the comment colour for the next comment created; that’s just how the comment colouring works at present, so there’s not a way to make it not apply to the next one but instead revert to your default colour. Likewise, there’s currently no setting for the comment colour when converted from a footnote; it just takes the default grey footnote colour.