Atmora a cold wasteland from what I can tell I believe we'll see a DLC involved with sometime soon maybe a Tribunal style one.
No, no, no. He and his two sons were the only survivors of the Night of Tears. They returned to Atmora and gathered the 500 companions.
They returned and drove the elves from Skyrim, after which, he never left. Ulfric's palace in Windhelm was at one time, Ysgrammor's palace.