And besides Windows can emulate the Roland music.
No it can't. All Windows can do for you is play general midi through its really bad sound canvas wavetable. Windows doesn't emulate the MT-32, which is what Ultima Underworld uses (if you don't select adlib/sound blaster). You need MUNT for that, or that custom build of DOSBox which includes MUNT. Or, of course, a real MT-32 compatible device (fuck you Sceptic and Jaesun).
It is the sound effects that is the problem.
The sound effects in this game are output using the same device as the music. Many games with MT-32 music use adlib sound effects and lets you configure both sound and music independently in the installer. Ultima Underworld doesn't. The second sound option in the installer is only for the voices.
So my guess is that your version of Ultima Underworld has
this music patch installed, which overrides the MT-32 music files with general midi ones which sound fine through standard Windows. My suggestion is to get a fresh version of Ultima Underworld, such as
this one (I've tested it) and set things up again from scratch.
EDIT: In fact, I installed the general midi music patch on a fresh install of Ultima Underworld and the sound is fucked up like you've been experiencing. Also, setting the midiconfig=1 with this music patch results in the general midi being sent to MUNT, causing really fucked up sound and music as the MT-32 isn't a GM device. Setting midiconfig=0 sends the general midi to the Windows software synthesizer, sounding far better, but with fucked up sound effects (throwing items against walls results in a cartoon-like "ding", for example, and footsteps sound like piano notes).
So basically if you do have that music patch installed then that's your problem right there. If you've obtained your game from GOG.com then I can't say whether they included the patch or not as I don't own it on there. My guess is they did include the patch, as that's the only way to provide half-decent sound to GOG users who probably don't have MT-32 roms.
So basically:
1) Install a fresh copy of Ultima Underworld from the above link.
2) Set midiconfig=1 again.
3) Play the game in all its (emulated) MT-32 glory.
Oh yeah, and make sure you use the CM-32 roms and not the standard MT-32 roms as I believe the game uses the extra sound effects.