For the sake of testing I think you should simplify things temporarily:
Audio OUT from Ultra, to Audio IN of MB, nothing else.
On MB make sure all settings are "neutral" i.e. resonance is not turned up, cutoff is open all the way, all waveforms are down, brute factor is turned down, etc.
Turn Audio In slider up.
Hold down a key on MB to open the gate, or on back of MB switch to to Hold mode. Play keys on Ultra and you should hear your sawtooth. Do you still hear the hiss then?
One thing to consider is that the audio in on the MB is configured for very high volume input, and most consumer synths seem to come through very quiet/weak. So if that is happening, and then somewhere along the process of routing the MB back into the Ultra and into your DAW, if that overall signal is getting amplified so you can hear your Ultra (through the MB) at a normal level, then it's very possible the "noise" in the signal is getting amplified that much more as well... thus causing something not normally very audible to become overly apparent... just speculation anyway