This is a bit of a UI thing right now that we need to straighten out. What's happening is that the search is by default (for performance reasons) only searching local folders. Unfortunately there's no way in the search builder, no obvious setting or checkbox, that will make it search remote folders.
Anyway, obviously we've got some usability and UI work on this: that's one of the reasons the whole Documents thing is still tagged as 'Beta' in 4.0.x...
In the meantime your best bet is to manually create your search string (do you have the user pref 'always show search string' turned on? Turn it on and then use the Search Builder build the query you want) and then add a clause at the end so your search looks like this:
Quote:
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my_search_terms (is:local or is:remote)
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That will do what you want.