It does search in endnotes. It just searches the entire main text first,
then searches the endnotes. If you had the cursor on page 350, it will
search 350-400 and then 1-350 before it gets to the notes.
If you just want to search the endnotes, put the cursor in an endnote and
then run F&R, and it will search all the notes first (and might then stop, I
can never remember whether it automatically goes onto the main text or not).
If you let it go through the main text but it didn't go back to search the
notes, click on More and make sure Search is set to "All", not Down or Up.
If you want to know *why* Word works this way, see here:
http://daiya.mvps.org/wordpages.htm
If you are interested in a collection of links useful for long documents
such as yours, see here:
http://daiya.mvps.org/bookword.htm