The output window can be made visible on clicking Window - Output Window. As the name already indicates, it is used mainly for outputs of programs and processes.
For example you can configure user tools and UltraEdit should capture the output of the user tools and display it in the output window. The output window will be automatically opened when something is captured from a user tool for the output window. Very useful for the output of compilers, but also many other user tools.
Also when you run Search - Find In Files and you have not checked the option Results to Edit Window, the output is written to the output window which will be automatically opened.
For more details about the output window click on right mouse button when the mouse is in this window and see page Output Window command in help of UltraEdit.
FocusNextPane and FocusPreviousPane are only useful if you a have splitted an edit window into 2 parts. You can do this with Window - Split Window or by moving the mouse cursor over the small rectangle over the top of the vertical scroll bar of an edit window. The mouse cursor will change to a symbol with 2 horizontal lines with arrows. That indicates that you can now press the left mouse button and drag this split bar to split the window. FocusNextPane and FocusPreviousPane are common Windows features supported also by many other applications like the MS Office programs, Adobe Reader, etc. In UltraEdit you can split a window only into 2 parts (= 2 window panes). Therefore FocusNextPane and FocusPreviousPane do the same. That's the reason why I use only Shift+F6 and use F6 for toggling the visibility of the output window.