UHMW and HDPE have different properties but as Ellis mentioned, the naming conventions are a bit hazy. UHMW has longer molecule chains, is more abrasion resistant and more flexible than HDPE. To make it more confusing, manufacturers use additives to change those properties even further.

To me, HDPE is always a bit stiffer and harder, while UMHW usually has a slick & slippery feel compared to HDPE. I really wouldn't tap UMHW unless you are using VERY coarse threads. I use sheet metal or plastite screws, but only in non-structural areas.