You select a two or more sections (e. g. through the TOC navigator), and set where you want them to start, whether next, left, odd or same page, via the Section palette. Same for headers and footers. You select a bunch of sections and set header and footer behavior for each and every section through the Header/Footer palette.
I'd actually consider this a bug, the palettes should all work on the active selection, even if it is discontinuous. You'll see, for example, that the Line Numbering palette has no trouble modifying multiple sections at once.
