>>I want to search for the exact phrase. However, it is missing in the Type of search popup. From the helpfile:
>>
>>Type of search
>>
>>By default, the type of search is executed to retrieve all messages that contains the word(s) you have entered. However, in some cases, you may want to search for an exact match such as "The Report Writer". When this is the case, simply change this selection to "The exact phrase needs to be found". This will proceed with an exact search.
>
>A follow up can be found in Message #1493016.

If you're looking for the exact phrase to be found (different type of search), then should not it be

select ... from Threads where Thread.Notes like '%' + @Phrase + '%' - exact phrase ?

(There is, of course, a problem with this approach, as it may result in false positives).