Yes, and it has a full stack too, so you can, for example, look up the dictionary definition of a word in a footnote, and then follow another link in that definition, etc., and then, when you're done, just repeatedly go 'Back'.

On my Kindle, the Back button works perfectly well in this case, returning you from footnote to the point where you followed it in the main text.

Try reading a multi-page footnote or manually exploring nearby footnotes.

Did that on pg's Hackers & Painters. Back key works just as expected for me. It's like a stack - you can pop significant transitions from it, like following a reference or leaving the book.