@Robin-Muliawan
You are absolutely correct. This is a BUG.
In theory, due to another BUG, you could press Alt+D (for down direction) or Alt+U (for up direction) while you are still on the Mark tab of the Find dialog, and it will change the (currently invisible) Direction box setting on a Find dialog tab that has this box (“Find” or “Repace”). However, due to yet another BUG (or maybe same BUG, when the bugs pile up it is easy to lose count), sometimes the Up and Down radio buttons BOTH get “checked” when doing this – and when they are both checked Notepad++ gets confused. :-)
So…there are bugs…which you already knew about, one at least…
So what to do? Well, typically I find that when I am wanting to Mark something, I do it and then end up finding text that should have been marked isn’t marked. Why? Because I didn’t tell it to “Wrap around”. As I typically want “wrap around” 99% of the time I am marking something (unlike when I am using find or replace), maybe you do, too? Maybe not, but as a workaround to the bug, I would suggest it. Or, obviously, you could remember to switch to the “Find” tab and check the setting there before executing the mark (burdensome)…