Not weird at all (and not a bug with Ultimate URLs).

If you use a webserver other than Apache (such as nGinx or IIS), you will need to manually recreate the functionality added by the .htaccess files (from both Zen Cart and Ultimate URLs).

Running without converting the Zen Cart directives negatively impacts security and performance. Running without converting the Ultimate URL directives means your webserver does not know how to handle the URLs generated by Ultimate URLs.