The UF4004 is an ultra-fast rectifier diode. Look at \(t_{rr}\), the reverse recovery time from the Electrical Characteristics table. It's only 50 ns for the UF4004. This means that the device can go from forward-biased conduction to blocking current in a very short time. See Wikipedia on the reverse recovery effect.
Keep in mind that silicon rectifier diodes like the 1N4001 thru 1N4007 and 1N5401 thru 1N5407 are very different from Schottky barrier diodes like 1N5817 thru 1N5819; the Schottky diodes have extremely low recovery times.
Standard silicon rectifier diodes work OK for rectification of sine waves up to around 500Hz or so, but beyond that you should be using faster diodes.
Here's a table I excerpted out of a news article from Rohm: