You don't allways have to outright kill a people to be 'just as bad'. Sure he welcomed them in but they life inthe slums, all the fith of the city flows into the grey quarter. They are treated like spies and lesser beings...no even less than that.
He won't lift a finger to help them, if bandits attack them on the road.
He's showing his power, and superiority by making an example of them.
If Ulfric became high king, and had even more power...what would be the next logical set for him?
Where else would they live in Windhelm? Last I checked, every other house is occupied. Not to mention they're refugees, and they themselves showed EXTREME racism to Argonians for CENTURIES, enslaving them and punishing them.
Now they get torn apart by the Argonians, and Red Mountain erupts, so they're forced to flee, and are in the same position as the Argonians. They're lucky karma even let them live, but they get houses in a city, and jobs that they get paid to perform.
The Stormcloaks may not be ENTIRELY right, I'm not trying to argue that, but they have a reasonable demand. The Thalmor are dragging them from their homes and butchering them for worshiping someone else. Worse still, they think they're better than them because of that, and MAY even butcher their own kind.
Look at it any way you want, but the Thalmor are evil. Now, if only the Stormcloaks say that and helped the Empire overthrow them. Or, better yet, kill the dragons first.