No, Endnote does not have this capability.
Older discussions on alternatives are here.http://lists.adeptscience.co.uk/endnote/endnote_Jul_2006/thid_443824e1cda849476a91252eef5e69b6.html
I am sure there are other programs with this capability, as a google search reveals a number of adds. Perhaps people with experience of some these - could add their two cents.
You could use these another programs, to search the .DATA and subfolders of Endnote. which (if using the relative options for attachments) would hold all the different PDFs.