Well, UltraEdit is a text editor and not a file manager. Therefore the find features are designed for searching for text and not for files. If you want to search for files, use your favorite file manager, i. e. Windows Explorer if you don't have something better. You can drag and drop the found files into the UltraEdit window for opening them.
As bulgrien wrote, you can use also the Find in Files feature of UltraEdit to find files. If you only want to find files and not a string in files, you can let the Find What field completely empty and don't need any other option except Search Subdirectories. The option Results to Edit Window can be used to control where the list of found files should be printed to: to the output window or to a new document window. Unfortunately the option Open matching files introduced with UE v17.20 does not work for this special find for files. But the found files can be opened with a double click on the file name in the output window or with right clicking on the file name in the document window.
But there is one more method to open quickly 1 or more files using a file name specifiation and let UltraEdit search in a directory or a directory tree for file names matching the file name specification: File - Quick Open, best used with a hotkey like Ctrl+Q. If you enter for example Dlg*.cpp as Filename, UltraEdit will open all files starting with Dlg and having cpp as file extension found in the directory defined under Path and its subdirectories, if option Open all matching files from subdirectories is also checked.
Last for completness, the standard File - Open dialog offers also the option to filter the list of files of a directory for quicker finding the files of interest. Just enter in the file name field a file specification with a wildchard character and hit key RETURN. The file names displayed is reduced to the files with a name matching the just entered file name specification and this filter is active as long as you have the dialog open and no file(s) is(are) selected for opening.