The next/previous window function is a function of Windows-OS. So it works always in the same way for all multi document applications like UltraEdit or Word97.
As you tried it, you have done one mistake. After selecting Edit1 and Edit2 by mouse, you first have to press Ctrl+F6 to switch to Edit2 from Edit1. Then you can use Ctrl+Shift+F6 to go back to Edit1.
This is easier to understand, if you compare it with switch between applications with Alt+Tab and Alt+Shift+Tab. If you press Alt+Tab and hold Alt after releasing the Tab key you see the actual history order of the applications. On the left side (index 0) is always the actual application. The next to the right (index 1) is the last used (previous) application and so on to the right, where those application is listed, which was used for the longest time ago. With Alt+Tab you go right to the next application. With Alt+Shift+Tab you go left to the "previous" application, better index-1 in the history order list. The application order changes after switch to another application.
The same system is used for document windows, with one difference. It is not possible to toggle between the last two windows with one key like Alt+Tab on the application order. Ask Microsoft why.
Best regards from Austria