I just found "Run this to install syntax highlighting for UltraEdit.ahk" in the Extras folder in my AHK program directory. When you run it it asks you if you would like to set UltraEdit as the default editor for ahk files. If you select Yes it edits the registry to point to UltraEdit when using the "Edit Script" context menu entry. However, it currently is broken.
Attempting to use Edit Script pops up this error window:
Opening RegEdit I can see there is a double backslash that is the source of the error.
If I edit this entry so there is only one backslash separating UltraEdit and uedit32.exe then the Edit Script context menu entry works normally. I'm not sure how AHK is developed or if anybody even cares about this little hiccup, but I wanted to post this for other UltraEdit users out there. If it gets fixed in the future, even better!