That's not how FFIND works.
FFIND was written 35 years ago for DOS, long before command variables were introduced. The world has advanced a bit since then (and FFIND is now deprecated). Slavishly duplicating obsolete behavior of an obsolete command doesn't benefit anyone.
Your desire to use %_? would only tell you that one or more of the following events occurred:
1. Your syntax is invalid.
2. There was an error in TCC.
3 FSEARCH didn't find any files. Or maybe directories.
4. There was some other error (fatal or not) in FSEARCH (i.e., permissions, file locked in another app, etc.)
5. There was an error in Windows.
6. You aborted the search.
If you use command variables, you get exactly what you're looking for.