Yes, the File Filters
(File Types) are only the filter settings for File - Open
and File - Save As
In UltraEdit for Windows there is File Associations
dialog to associate file extensions with UltraEdit by adding or changing registration for a file extension in Windows registry. Of course such a file association could be done also with Windows Explorer. But there is an advantage of using the File Associations configuration dialog in UE instead of doing it with Windows Explorer, UltraEdit remembers current association and restores it when deleting the assocation from within the dialog which Windows Explorer does not.
I don't know if UltraEdit for Mac has also such a dialog as there is no registry.