Adding a micro SD card allows you to expand the amount of internal memory available for installing channels and games from the Roku Channel Store. The micro SD card is not used for the storage of personal media such as photos, videos, or music.
Do not feel so upset about those SD cards. I decided against putting one inside my own Ultra. Waste of money. I bought a 3 foot Ethernet cable instead for more stable internet use over WiFi. I think that's far more important in my situation.