That just makes it stranger, since both those options go through the same path to update episodes.
Even when going through the 'manual search' window, it shouldn't make any difference.
Basically this is what should be happening when you select either option method:
you select an item from the list, loading up it's information into memory.
you select 'update episodes' one way or another, and in both cases the same function is called that will eventually lead to opening up the progress dialog that is shown in the bottom of both screenshots.
the dialog takes the TVDB ID from memory and gives it to the UpdateEpisodes function.
However in your case, the TVDB ID is not being passed on, at least that's what the message means, unfortunately I can't seem to reproduce the circumstances that may cause this, at least not in the given ways.
Usually the message should only pop up when there's no .nfo file available, or no TVDB or IMDb ID found inside the .nfo file.
I did however find that the 'Update All Episodes' had been named the same as the 'update selected episodes', but that would only have made the 'update all episodes' option work incorrectly.
Could you try using the latest build from the link below?:
http://www.mediafire.com/download.php?phpzas2any1i1n1