Apparently there has been a member who has had problems with Ultrastar 1.0.2 showing hangul before (as you can see in HERE) I can't say for sure if that version can show hangul or not, but I would suggest you to download another version of Ultrastar.
I have Ultrastar Deluxe 1.1 and all the songs with hangul are working perfectly. You can download it from HERE or then you can try the UltraStar Deluxe WorldParty 12.07 that 2LazyToCare suggested in the other thread.
I read about pola_alnes asked. I have question : What there is ultrastars deluxe version that can automate reading hangul to romaji? Because I want the make song with romaji lyrics
Ultrastar (deluxe/worldparty) cannot convert Hangeul to romaji, nor japaneses kanjis to romaji or chinese to pinyin.
But you can do it yourself if you have an Ultrastar song in hangeul. You must replace in the .txt document, the korean caracter by the right romaji caracters.