Anyway, it seems it was something wrong with that particular
document
because I selected all and copied it into a new document and there
the
footnotes didn't leave so much space beneath them.


Documents sometimes get corrupted. Copying the contents (except for
the final paragraph mark) into a new document is one of the fixes
covered in the article about corruption at
http://word.mvps.org/FAQs/AppErrors/CorruptDoc.htm.

It was still not perfect
but way better and the rest of the problem, I discovered, came from
some
"spaces" in the footer section.

What kind of spaces are you referring to? How did you manage to delete
them?

--
Stefan Blom
Microsoft Word MVP