As I understand it, any search engine whose SEO you care about will be loading web pages in a headless browser running JS these days, so depending on JS doesn't make something invisible. In any case, there is not much reason to use 'JS generated sidenotes', and I'm not sure any of the scores of examples I link do so. The sidenotes are part of the document, and get served with the rest of the document. (The ones which rely on JS are only doing so for presentation; the actual sidenotes continue to live in various span or div or aside elements that a search engine should have no problem understanding.)
Unless you have some major counterexample, sidenotes/SEO seems like a non-issue to me which really is that simple: "no".
