That is a great question. The wrinkles in the skin are in the dermis and do not go away with Ulthera. You are right!
Ulthera helps the supporting structure, more specifically, it tightens the SMAS or the superficial musculoaponeurotic system. This helps the laxity and sagging in the area. It lifts because it helps build collagen. While the little wrinkles that are superficial also get some of the energy and build collagen, the primary reason to do Ulthera is the tightening and lifting. Compare this to a laser like Fraxel, where the energy is targeted to making collagen in the dermis and helps smooth away wrinkles.
The two treatments therefore work best together to address different components of the aging process: Sagging and laxity is addressed with Ulthera and the large pores and fine wrinkles get treatment with Fraxel.
Hope this helps!