If an emblem is added for clearing Ultimate mode, the warning still says you won't get one.
The following SOC adds an emblem for clearing Ultimate mode. (It also makes the game end after GFZ1, so I could more easily test that the emblem was set up correctly.) However, when starting Ultimate mode, it still told me you don't get an emblem for it.
MainCfg
GameData = temp.dat
ConditionSet 128
Condition1 = UltimateClear
ExtraEmblem
Name = Ultimate Mode
Objective = Clear Ultimate mode
ConditionSet = 128
Sprite = J
Color = SKINCOLOR_ORANGE
Level 1
LevelName = Greenflower
Act = 1
Music = GFZ1
NextLevel = ENDING