Yeah you can sink anything at any time. The search grid is your place in the screen of U-boats Bdu sets in the atlantic to basically run into the convoy en-route to and from England. But your primary mission is to sink merchant tonnage. So anythingyou can get on the way is definately okay, in fact its highly suggested. Any damage we can do to the british Merchant navy brings us tat much closer to victory!
Just be wary of Neutral ships. Its only okay to sink them when they are in a convoy. Alone you might get a renown hit. But Im not sure if that is changed by GW. I know NYGM changes this.