"What I want to be able to do is add a footnote to the table. This seems impossible to do."
This is true in Numbers. At least part of the reason is that 'pages' are not defined in Numbers until you activate Print Setup. If you are not in the process of printing the Numbers document to 'pages' of a specified size, he document is not organized into 'pages'. Its Tables and other objects are placed on Sheets. Each Sheet may contain several Tables (and other objects) that, when printed, will take several "pages".
If you want footnotes, you'll either have to 'fake' them, using the methods described above, or construct your spreadsheet using one or more tables in Pages, where you can add a footnote to a table.
Try this:

Insert the table, place a return before it and one after it.
Place the insertion point immediately before the return following the table. Go Insert > Footnote.
Enter your footnote at the bottom of the page.
Regards,
Barry
PS: