@Rafen Well, it's not great. There are no outright 'purges' exactly, but non nords, particularly non humans, live in poor conditions, and most of them are watched very carefully, especially in Windhelm and near the border.
People like Galmar and Rolf Stonefist, who used to be vocal minorities are still minorities, they're just the ones in charge now. With the disappearances, everyone suspects everyone, so it's difficult for people who are traveling from town to town like....our group.
As for Ulfric, yes he still lives in Windhelm. Even though he's the high king now, he wants to stick with ancient nord traditions by staying in the palace of the kings.