He's also a bit preoccupied to be walking around his own city, being in a war and all, and I highly doublt that any of the Dark Elves go to him for help with their situation anyway -- when you first walk into Windhelm and see the Nord harassing the Dark Elf, she tells you to just leave it be. Why do you expect Ulfric to be proactive in helping the Dark Elves when they themselves don't seem too focused on asking for his help, or even expecting it?