Does SFA automatically multiply the loads by factors as specified by the ACI/ASCE code ?

No the software does not apply these factors on the loads. If you have the superstructure modeled and analyzed in STAAD.Pro and you are designing the foundation in SFA, you can directly define these combinations with appropriate factors within the STAAD.Pro file itself and that way these combinations would be available inside SFA for foundation design. Alternately you can also define load combinations with appropriate combination factors in SFA itself. There are automatic load combination generation facility in SFA that can be found within Load & Factors > Generate Load Combination. It has the load factors predefined for a number of codes including ASCE 7. Users are also allowed to specify their own combinations.