Disable the configuration setting you have checked and you will get a prompt "Continue search from other end of file?" when the search reaches end of file (search downwards) or top of file (search upwards).
But there is no option for an alert when you for example start your search anywhere inside the file, search till end of the file has been reached, continue from top and reaches again the position where you have started the search = whole file as been searched. I know, other applications like MS Word and Adobe Reader do it and the message is often helpful, but sometimes also annoying. Other applications like browsers run like UltraEdit also a search in an "endless" loop without a message.
I have disabled this configuration setting and when I want a search in whole file I press Ctrl+Home first before I start the search. Surely not the best solution for everybody, but nothing better exist at the moment.
You can send an email with a feature request to IDM.
I think, the main problem is that during a search UltraEdit allows also large content manipluation. That makes it very difficult to detect when the search has reached the initial position. It can be even possible that the initial position is not present anymore. From a programmers view it is really very hard to detect if whole file has been already searched for the string or not when content has changed during the search.