Your approach is a little bit dangerous. Improved version of your macro code:
Command Top always sets cursor to column 1 of line 1. Key HOME is not necessary anymore after Top. A Replace All does not change cursor position. One Top is enough.

For running a macro on all open files, see:

• Run Macro for each Find in Files Hit
• How do you run a macro on all open files?

And some more issues about that can be found in the macro and find forum because I (author: Mofi) have written some more solutions.

Maybe it's better for you to use the ReplInFiles command, if you always want to do the replace on several files at once.

This macro should convert all html elements and most attributes to lower case. But I have not tested it, so be careful!

First loop converts the elements to lower case, the second loop converts the attributes. Attributes are hardly to identify.

The attribute NOWRAP in <td height=25 NOWRAP colspan="2"> for example will not be found as html attribute. Also NOWRAP at the end of a line will not be found. Single attributes without = following could be searched and replaced with a replace all after last loop. There are not many attributes without =.

Mixed uppercase/lowercase elements and attributes are not found by this macro. You can remove the 2 MatchCase options, if you also want to convert such elements/attributes.

InsertMode
ColumnModeOff
HexOff
UnixReOff
Top
Loop
Find MatchCase RegExp "<[A-Z][A-Z0-9]+"
IfFound
ToLower
Else
ExitLoop
EndIf
EndLoop
Top
Loop
Find MatchCase RegExp "[ ^t^p][A-Z]+[=>]"
IfFound
ToLower
EndSelect
Key LEFT ARROW
Else
ExitLoop
EndIf
EndLoop
Top
UnixReOn

Remove the last red command, if you use regular expression in UltraEdit style by default instead of Unix style.
For UltraEdit v11.10c and 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.

Your macro is not very good. Html elements spread over multiply lines are not converted to lower case because * does only search to end of current line. Also IDs and class names are case-sensitive (according to HTML and CSS specifications). If you convert it all to lower case, the html page could fail to display correctly. And you convert also everything inside <!-- --> comments.