That is clear. While clicking other links in a pop-up will replace the current note with that popup with the destination, following a footnote from within a pop-pop does not work. This is a current limitation in the software and has to be implemented by the developpers. So probably the only action you can do is file this as an issue, if it has not yet been filed. Then this may work as you expect in a future version.
The current workaround will be to Ctrl+Click the link to open the note in a new tab instead of in a popup, from where you can continue to the footnote.