No, this is still not possible with UltraEdit v11.20b. But a macro can do the job if you run the Find In Files with option Results to Edit Window checked. Run the Find In Files twice - first with results to the output window and second with the results to edit window. Or copy the content of output window after Find In Files to the clipboard and paste it in a new file. The macro closes this new result file without saving it. I hope, v9.20 has all the macro commands used by my macro. I can't test it with v9.20.

The macro code for open all files where the string was found is:

InsertMode
ColumnModeOff
HexOff
UnixReOff
Top
Find RegExp "%Search complete, found *^p"
IfFound
Key DEL
Else
UnixReOn
ExitMacro
EndIf
Top
Find "----------------------------------------^p"
Replace All ""
Find RegExp "%Find *^p"
Replace All ""
Find RegExp "%Found *^p"
Replace All ""
Find RegExp "/[0-9]+:*$"
Replace All ""
SortAsc IgnoreCase RemoveDup 1 -1 0 0 0 0 0 0
Loop
Clipboard 9
StartSelect
Key END
Copy
EndSelect
Key HOME
Open "^c"
NextWindow
Key DOWN ARROW
IfEof
ExitLoop
EndIf
EndLoop
CloseFile NoSave
Clipboard 0
UnixReOn

Remove the red commands, if you use regular expression in UltraEdit style by default instead of Unix style.
For UltraEdit v11.10c and lower (your v9.20 is lower) see Advanced - Configuration - Find - Unix style Regular Expressions.
For UltraEdit v11.20 and higher see Advanced - Configuration - Searching - Unix style Regular Expressions.
Macro commands UnixReOn/UnixReOff modifies this setting.

And don't forget to enable the macro property Continue if a Find with Replace not found.