Is it ok to do ultherapy 4 months after a thermage treatment? Is there any possibility I could damage my neck skin?

In a word, absolutely.  Thermage does not predispose the skin for impaired healing and Ultherapy treats the skin at a deeper level than Thermage.  I have provided these treatments with short intervals in between many times without any adverse events.

There is no reason not to have both procedures done, provided that you allow enough time to evaluate the full response to the Thermage. This would be about 3 months or a bit longer. Ultherapy might give a boost to your results by targeting different layers.

I don't see how the Thermage treatment could negatively interfere with the proposed Ultherapy treatment.  Waiting more time might show greater improvement after the Thermage and one might be more pleased with the result and if that's the case,they may be less willing to undergo another procedure.  Six months is considered to be an appropriate time to evaluate the response from non-invasive procedures.

I don't see a contraindication for having Ultherapy following failed Thermage. It should tighten the skin and SMAS layer to treat laxity in the neck.