People seem to be interpreting things as Ulfric being caught in an ambush at the border, I don't think this is the case. The ambush is meant to have happened at Darkwater Crossing according to Ralof, located in Eastmarch well north of the border. It's also a long way to Helgen from there, and not adjacent to any Imperial held territory (Whiterun had not yet declared a side,) so the logistics of the ambush and the prisoner caravan make no sense.


Lokir got caught up in the raid somehow despite not being a Stormcloak, presumably because he's not resident in Darkwater and the Imperials just arrested everyone they couldn't account for as being there for legitimate civilian reasons.

How the Dragonborn got caught up in things is really unclear. You're meant to have been crossing the border into Skyrim and walked into the ambush and been grabbed by mistake... while in southern Eastmarch, ages from the border with Cyrodiil. You could be coming in from Morrowind instead of Cyrodiil, but that border is still a good distance away, and unless you were climbing the mountains the only ways into Skyrim along that border are at the coastline by Windhelm and down past Riften. I guess it is technically possible you were entering Skyrim as the convoy was passing along the road on the southern border and they just decided to knock you out and arrest you because you might be trying to free Ulfric, but really it just doesn't make sense.