The Highlight All Items Found feature cannot be used from within a macro. It's the nature of this feature that it can be only used with user interactions because the user must scroll to see the highlighted found strings and if he continues with any action except scrolling with mouse or the cursor moving keys the highlighting will stop.
If you record a find with the feature checked, you will see in the macro code what UltraEdit is doing in the background for this feature (run multiple Finds). Well, the macro recorder should record only the first find when this special feature is set and not all subsequent finds too.
But I think, the IDM developers simply have not thought on it that a user tries to record a find with this special option checked because it makes no sense for macros. Except a user wants to create macros with only 1 Find with Highlight All Items Found command for various often needed search strings for a quick recall from the macro list view. Sorry, but this is not possible although I understand that this could be useful.