Of course I did. But I never took part in this civil war. So I do NOT know Ulfrik. All I know is what I read on him, that he spent 10 years with the Grey Beards who taught him the way of voices. So I'm surprised to know that he learned only 2 thums.
Ulfric is not Dragonborn. The only reason the player learns so many shouts so quickly is because s/he *is* Dragonborn, and possesses the innate ability to shout despite not knowing (at first) the words of power or having the necessary understanding of them in their "magical" context. The former is obtained simply by seeing a word and the latter by absorbing the understanding directly from a dead dragon when you take its soul. After that the actual shouting of the word(s) comes naturally.
Ulfric can learn to say the words of a shout, but he doesn't have the innate ability to use them in a Thu'um nor can he absorb that knowledge in an instant by taking a dragon's soul. He had to learn *how* to shout in addition to spending a long time meditating on the words themselves in order to use them in a Thu'um. That is what learning to shout is like for someone who isn't Dragonborn - it takes much time and patience.
And also I would like to know why there was a dragon at Helgen and how come that one says it was Alduin himself. That dragon was pretty weak to be Alduin. And who called that dragon? Any idea?
Nobody called Alduin. He was banished ages ago in the Dragon Wars, thrown forward in time, and popped back into the world in 4E 201. He's a demi-god, not some servant of humans who comes when called. And to call any dragon you'd need to shout his name in a proper Thu'um, did you see Ulfric doing any shouting at Helgen? No, because the Imperials had him gagged to prevent the possibility of him using the shouts he does know.
If he had the power to control a dragon why was it attacking the tower where he and his soldiers were trying to take cover? Why would he be taking cover at all if the dragon were doing his bidding by showing up to interrupt his execution?
As for the dragon at Helgen being really and truly Alduin, play through the opening with your subtitles on. The game itself identifies him for you.