You can't use autoformat in the notes themselves, but you can copy the notes to a document, format them there then copy them back again. The following should work
Option Explicit
Sub LinkNotes()
Dim oDoc As Document
Dim oTemp As Document
Dim oNote As Range
Dim oFN As Footnote
Dim oEN As EndNote
Dim oRng As Range
Set oDoc = ActiveDocument
oDoc.Save
Set oTemp = Documents.Add(Template:=oDoc.FullName, Visible:=False)
For Each oFN In oDoc.Footnotes
Set oNote = oFN.Range
Set oRng = oTemp.Range
oRng.FormattedText = oNote.FormattedText
oRng.Style = "Footnote Text"
Options.AutoFormatReplaceHyperlinks = True
oRng.AutoFormat
oRng.End = oRng.End - 1
oNote.FormattedText = oRng.FormattedText
Next oFN
For Each oEN In oDoc.Endnotes
Set oNote = oEN.Range
Set oRng = oTemp.Range
oRng.FormattedText = oNote.FormattedText
oRng.Style = "Footnote Text"
Options.AutoFormatReplaceHyperlinks = True
oRng.AutoFormat
oRng.End = oRng.End - 1
oNote.FormattedText = oRng.FormattedText
Next oEN
oTemp.Close savechanges:=wdDoNotSaveChanges
lbl_Exit:
Set oEN = Nothing
Set oFN = Nothing
Set oDoc = Nothing
Set oTemp = Nothing
Set oRng = Nothing
Set oNote = Nothing
Exit Sub
End Sub
With a few small modifications to that code you should also be able to use it with http://www.gmayor.com/document_batch_processes.htm as a custom process to enable you to batch process your documents.
Option Explicit
Function LinkNotes(oDoc As Document) As Boolean
Dim oTemp As Document
Dim oNote As Range
Dim oFN As Footnote
Dim oEN As EndNote
Dim oRng As Range
On Error GoTo err_Handler
Set oTemp = Documents.Add(Template:=oDoc.FullName, Visible:=False)
For Each oFN In oDoc.Footnotes
Set oNote = oFN.Range
Set oRng = oTemp.Range
oRng.FormattedText = oNote.FormattedText
oRng.Style = "Footnote Text"
Options.AutoFormatReplaceHyperlinks = True
oRng.AutoFormat
oRng.End = oRng.End - 1
oNote.FormattedText = oRng.FormattedText
Next oFN
For Each oEN In oDoc.Endnotes
Set oNote = oEN.Range
Set oRng = oTemp.Range
oRng.FormattedText = oNote.FormattedText
oRng.Style = "Footnote Text"
Options.AutoFormatReplaceHyperlinks = True
oRng.AutoFormat
oRng.End = oRng.End - 1
oNote.FormattedText = oRng.FormattedText
Next oEN
oTemp.Close savechanges:=wdDoNotSaveChanges
LinkNotes = True
lbl_Exit:
Set oEN = Nothing
Set oFN = Nothing
Set oDoc = Nothing
Set oTemp = Nothing
Set oRng = Nothing
Set oNote = Nothing
Exit Function
err_Handler:
LinkNotes = False
Resume lbl_Exit
End Function