I'm trying to find the next BEGIN or END without missing any, so I want to search with a regex in the find. I want to find the next BEGIN or END.
For some reason it's not working. What's wrong with what I am doing?

SSMS (and Visual Studio too) uses a CRAZY Regex flavor, and it's always a huge pain to use. I CAN'T BELIEVE they don't use the .NET Regex engine!
Here's the documentation, which you should definitely bookmark if you ever plan on using Regex again.
The Regex you should use is:
<(begin|end)>
Unusual keys:
< beginning of a word
> end of word
() group -- however, for capturing (and replacing), you must use {}
You can also see a quick-list of "special characters" by clicking the little > button that appears to the right of the text box. This is basically a built-in cheat-sheet.