1) I don't think it searches all open files, just the active tab. You can say that's a bug or feature or missing feature or whatever. Personally I'm fine with that but an option to search all open files couldn't hurt I guess.
2) When you search for something you have the option to search from the cursor and "down" or from the cursor and "up". Is it possible that your label was on "the wrong side" of the cursor combined with your selection? Again, I guessa message box popping up asking if you want to "wrap around" could be useful.

As for the error messages, they don't come from the IDE, they come from the compiler. Make sure you look at the last error and not just the first.

I totally agree that by now we should have a better IDE - but we don't.