I have installed some modules but sometimes there are no SEO links in them. For example: in Front End Users, when saving user settings, there are normal URLs. How to make them SEO friendly as well?

And what about Search module?

You do not need to make SEO urls on the pages which can not be accessed by search engines.

Only registered user can see his settings, so no need to change URL for SEO. You can do it for you and your user, because it is nice, but for search engine it does not make sense.

The same, search robot will not search through your site, so also URLs in search result of Search module do not need to be SEO friendly.

you are right :)

It's nothing about SEO though it would be nicer for my users.