They live in his Hold they should be under his protection but they aren't. Why should the Dunmer help Ulfric when he ignores them. The Dunmer were living in Windhelm under Ulfric long before the Civil War and he ignored them. Why should they support him now? Simply being allowed to exist isn't enough for loyality.
I wouldn't blame Ulfric entirely. If you've ever played Morrowind, you know what the Dunmer are like.
Why does a SINGLE Imperial Captain condem the entire Empire? Hadvar objects to your execution and when given the opportunity releases you. And despite being technically an escaped criminal the general is perfectly happy to accept you into the Legion. Show me a government that doesn't execute innocent people and I'll show you a government that doesn't execute anyone.
General Tullius is present and doesn't seem to object at all. And no, you aren't an escaped criminal. You were merely crossing the border from Cyrodiil (as it's implied).
If Ulfric hadn't started his rebellion you wouldn't have been arrested. You were in the wrong place at the wrong time simple as that.
How many others do you think were in the wrong place and the wrong time as well? The Empire is falling apart. Skyrim may have been part of it once before, but I should think that the Nords fighting for their independence after having their religion outlawed by the Empire is completely justified. It is their land. The Empire is not defending them from the Thalmor, but giving into their demands and allowing them to walk around freely. That's justification for a rebellion, no matter the reasoning behind the Empires actions.
Skyrim is better off following in the footsteps of Hammerfell, and Ulfric cannot be blamed for the Empire trying to execute you.
But the Nords are in no shape to rule themselves, nor fend off a full fledged Thalmor invasion.
Why is that? The coming of the Dragonborn is enough motivation for them to fend off the Thalmor. Not to mention that, should Ulfric become High King, their leader would also have the power of the Voice. The College of the Voice could very well have been restored, and the Nords could very well have become a force to be reckoned with once more.