Yeah but when do you see thor and colossus in the late game without supporting units? Immortal, marauder, siege tank, and void ray all shred ultra, and there are usually plenty of those units by the time you can get ultras out. Ultra also has terrible pathing issues because it's a melee unit. It gets jammed in traffic easily and good sentry FF micro makes it close to useless.
Sentrys cant FF ultras, they're a massive unit.