This is a very minor matter, evident in the screen display but not the
pdf. The font size in a footnote or margin note after emphasizing,
bolding, or small-capping (nouning) reverts to normalsize rather than
footnotesize.
Click the margin note button. Write ``First part.'' Then click the
emphasis button. Write ``Emphasis.'' Click it again to turn off
emphasis. Now write ``Second part.''. On my system, on screen, ``First
part.'' is footnotesized but ``Emphasis. Second part.'' is normalsized.
The note in the pdf however is all footnotesized, so the discrepancy in
the screen display has no practical consequences for a printout. This
doesn't necessarily show up in the first footnote or margin note but
does in the second or later ones. (It may be necessary to zoom to 150%
for this to be obvious.)
I've noted this in LyX 1.6.9 and LyX 2.0 rc2, both on Windows Vista.
Andrew Parsloe