As far as I know Notepad++ saves the contents of a new, unsaved file on exit in a file stored in
%APPDATA%\Notepad++\backup, reloads this backup file on next start and deletes the backup file automatically on saving the new file with a definite name or closing the "new" file.
UltraEdit does not have such a feature at the moment. A file is created in
%TEMP% (or the directory configured in INI file for temporary files) on opening a new file and the user has to decide on exiting UltraEdit what to do with that new file, save it or discard (delete) it.
There is the topic
Save all new, unnamed files with automatically generated file names with a script which can be executed manually for example by pressing a hotkey to save all new, unnamed files before exiting UltraEdit.
It is also possible to have always opened a named file like
TempTextData.tmp stored somewhere for temporary text data. This file can be also added to
Favorite Files/Folders list for quickly reopening it in case of having it once closed in UltraEdit.
But most efficient would be to nearly never exit UltraEdit. All Windows support
hibernate mode which I'm using already since Windows 98 which means since nearly 20 years. The hibernate mode makes it possible to leave all applications running on shutting down the computer and the applications continue running after next power on of the computer. The "new fast" shutdown and restart of Windows 8/8.1/10 is just a hibernate shutdown/restart with the difference of an automatic exit of all running foreground applications before hibernating. That's the reason why I suggest most Windows 8/8.1/10 users who want to continue working exactly as stopped before shutdown to use the good old real hibernate mode. It is customizable in Windows power schemes/energy options that Windows hibernates instead of doing a real shut down on pressing power off key on keyboard or computer case or clicking on shutdown item in Windows start menu or on closing display of notebook.
So applications like UltraEdit must be really exited only when a restart of Windows is necessary, for example after monthly security update installations of Windows or when an application is installed/uninstalled requiring a restart of Windows or UltraEdit itself is updated.
UltraEdit can be configured to minimize on system tray to remove its larger icon from Windows task bar to avoid occupying space on Windows task bar when kept running but being minimized as temporarily not needed.
However, you can request a feature by email to IDM support to keep new, unnamed files on exit optionally depending on a configuration setting which are further managed by UltraEdit like Notepad++. When there are enough other UltraEdit users requesting this feature, I'm quite sure a future version of UltraEdit will have it.