I am assuming you are only going to print a Family Journal and an Index to that Journal. It gets a bit more complicated if you also want to index other Reports at the same time.
Before printing a Family Journal, click reset index.
In UFTree 3.0, when setting up the Family Journal to include footnotes, check 'Normal' or 'Compressed'. Immediately after printing the Family Journal, print the End Notes Report (Reports, End Notes Report).
Yes, it will start on a new page.
According to the 3.0 CD manual, p. 208, you cannot print a file with footnotes.
(Except) When you print to a WordPerfect file (WordPerfect 7, or 9) the footnotes are embedded. Then use WP to generate the footnotes which will print at the immediate end of the report.
I have no idea how to make MSWord generate an index.
In other words, at this time, you (and we) cannot do what you want to do but the above is as close as we can come at this time.