Yes, some applications like Microsoft Office have their own Open and Save As dialogs and do not use the Windows standard Open and Save As dialogs or allow to customize it (a Microsoft product does not use the Microsoft Windows standard, crazy). Some applications are not natively Windows applications (often ported from Linux or Mac) and therefore also do not use the Windows standard Open and Save As dialogs.

Following articles of Microsoft are maybe of interest for you:
How to customize the My Places bar in both the Open and the Save As dialog boxes in Office
How to customize the Favorites Links list in common file dialog boxes in Windows Explorer in Windows Vista

I have found also the interesting tool FileOpenPatcher on the ElmüSoft Downloads page. File-Ex is another tool. I have not tried any of these 2 tools.

To set the order you wish to see after clicking on the details view in the Open or Save As dialog, open Windows Explorer, switch to the details view, select the column and the direction for ordering the files you want, hold Ctrl key and press the Close button on the window. The sorting order for the Open/Save As dialog should be changed as well as the default in Windows Explorer. You need to restart UltraEdit to see files in the open and save as dialog in the details view now in the new default order. I have monitored with registry key was modified using this method. It was

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer]
"ShellState"=hex:...

The MSDN article SHELLSTATE Structure explains the structure of this key - for programmers only!

The article Open and Save As Dialog Boxes in the MSDN is for programmers, but is maybe also for interest of you to understand how complicated it is to customize the standard Open and Save As dialogs from within a program which should run on Windows 2000, XP, Vista and the server versions of Windows. I was forced for one of our Windows applications to deeply look into it and you can believe me, it is a nightmare for every Windows programmer. I needed 5 days for just a simple select folder dialog to work properly on all currently available and used Windows versions because there are so many differences in the look of the dialog and what is supported and what is not supported depending on the Windows version (or more precisely the version of the DLL containing the common Open and Save As dialog objects).

But back to your question: No, UltraEdit has no options for configuring the common file open and save as dialogs for UE only.

Your question was clear and my last sentence answered it - NO. All above my last sentence was my attempt to explain you why this is not possible and which workarounds maybe exist by using 3rd party tools.