Assume the diagonals AC and BD of a quadrilateral ABCD are orthogonal. Then the midpoints P, Q, R, S and the feet E, F, G, H of the perpendiculars from the midpoints to the opposite sides all lie on a circle centered at the gravity center K of ABCD.
K is the center of the Varignon parallelogram, which, since the diagonals of ABCD are orthogonal, is a rectangle. It follows that segments PR and QS serve as diameters of a circle with center at K. But then right angles subtended by either PR or QS are inscribed into that circle. This, in particular, includes points E, F, G and H.