Yeah, I get the same feeling.

Some footnotes are chapters in themselves (or have their own footnotes), and I couldn't shake the feeling that the confusion I felt upon realizing that I had still been in 'footnote territory' was entirely intentional, similar to his run-on sentences that have a very specific effect. I rather liked how reading an ebook version made it even easier to forget I was reading footnotes.

Also, one of my favorite jokes wouldn't work if he'd put the footnotes at the bottom of the pages.