The neck-to-body connection on a set neck should be tighter, so there should be less energy lost from the vibrating string. As a result, the sustain should be a bit stronger. It also seems that the low end suffers more from the energy loss than the high end, giving the bolt-on the more trebly tone. Of course, that all relies on the typical construction. A bad glue job or a super-tight bolt-on neck pocket can go against the common wisdom.
The Ultra was always my favorite Strat. I used to look for them, but the prices kept going up. I haven't been shopping lately, so I don't have any idea how much the recent economic issues have impacted things like that.
-bob