Rolaf says "Walked right into that imperial ambush same as us and that thief over there." which could be takes as "you walked into an imperial ambush as well".
"That Imperial ambush" implies there being only one ambush that all of you got mixed up in, since "that" refers to a particular event.
And given my video shoing he tells you that they were ambushed on their way to darkwater only emphasizes that you were not captured together, otherwise you would know this already.
You were knocked unconscious and just came to. You were disoriented, surrounded by people you only had glimpses of before being knocked unconscious and captured. Ralof only tells you about Darkwater when you ask, implying you had trouble remembering.
Not to say you were or weren't at Darkwater, but the dialog heavily implies you, Lokir, and the Stormcloaks were all captured at the same time, wherever that may be.
Also, the horse thief only discovers that he is with Ulfric after Ralof identifies him.
As Ralof says in that video Echonite posted, most people don't know what Ulfric looks like. Lokir knew he was with some Stormcloaks, but he didn't realize he was also with Ulfric. It was only after he realized he was grouped with the leader of the rebellion that he started freaking out.