Altere .Wrap = wdFindContinue para .Wrap = wdFindStop em sua macro:
' Macro1 Macro
'
'
Selection.Find.ClearFormatting
Selection.Find.Replacement.ClearFormatting
With Selection.Find
.Text = "ä"
.Replacement.Text = ChrW(257)
.Forward = True
.Wrap = wdFindContinue