Tested some more and found the issue: on the "General" tab "Act On Current Selection Only" was enabled.
With this setting only already selected nodes/edges/bends are taken into account.
As I only had the edge selected it could not find a bend at all.
Disabling "Act On Current Selection Only" and then using select bends on selected edges gives the expected result.
The setting "Act On Current Selection Only" is very useful. Select everything within an area and then fine-tune the selection.
I suggest to update http://yed.yworks.com/support/manual/yed_edit_find.html to make this behaviour more clear (explanation + examples).