Thanks, Dave. Your post above answers all my questions regarding File Associations currently not answered on IDM's official help page:
Also in UEM there is a File Associations preferences dialog which can be used to associate file types with UEM by the users.
While UltraEdit for Mac makes the file association in OSX FINDER, UltraEdit for Windows makes it in registry of Windows. It looks like this is the only difference.
Also on Windows the file association made with UltraEdit can be overridden by a user with Windows Explorer, although it would be better first to delete the file association in configuration dialog of UltraEdit and then use Windows Explorer to associate a file extension with a different application.