I've figured it out. To make the inline footnote works, must put the footnotes in the "Footnotes" section. Here is the example:
I have the file: "HDN is the best.html"
<title>HDN is the best</title>
<h1>Best of HDN</h1>
<p><sup><a id='fs-1' ...
If you are starting with an .epub file, there is an editor program in the Calibre suite which can change anything in the .epub, including the fonts:
But if you convert the file from .epub to .mobi, with any program including Calibre, it's then almost impossible to edit the resulting .mobi file. So you get stuck with ...