Just so I am clear, you are "recirculating" or "looping" your preamp-out signals through the Ultra and then back into your inputs, correct? I haven't checked the electrical specs on this [line out->line in->line out->line in], but I will ask the obvious question, and this is not intended to insult, just to check: have you set the Ultra selector switch to the A, or leftmost position? In the pre-out mode, what are the gain settings for the AVR? IF you see the Ultra volume levels to midpoint, with Normal settings on the mix selectors, does your AVR still correctly control gain?

I have to admit that, even if you get this arrangement working, I am not sure it is going to deliver great benefit. Depending of course on what tubes you are using in your Ultra, you will definitely alter the sound coming out of your AVR that you then send back into it. Don't get me wrong; that's a nice receiver; just not sure you're going to get as much out of the Ultra as it can give here. But I would definitely get on the phone with Steve to discuss this one. Not sure any other Ultra owners are using their Ultra quite this way, but note that I am feeding my Ultra from an Emotiva pre/pro, so conceptually, it is not completely different.

BTW, your manual is here in case anyone else wants to check it out.

If you have the source connected to the H-K there is no way to select it and the 5.1 direct input at the same time AFAIK.
With pre out/ main in jacks it should work or if your source has a 5.1 output you can run those though the Ultra and into the AVR (losing all AVR adjustments).
Like PR above, not sure it would be worth it.

I appreciate the response everybody!  

Good news is I do have it hooked up and it's working fine now.  I thought I could run continuous 5.1 regardless of the input (cable tv,cd player etc.) thru the "pre" out jacks on the HK but that's not the case unfortunately.  
The good news is the Ultra runs the cable tv sound, cd player, and Airtunes thru the front three speakers and subwoofer.  The Sub really sounds much more life-like (tested on The Beatles Dear Prudence).  

The 5.1 Blueray player for dvd movies thru the Ultra sounds awesome and when not running dvd movies then I'm swapping the inputs as mentioned above and enjoying the front three speakers thru analog mode.
When I can afford it I hope to get five Decware amps and run it like Steve envisioned!
Thanks again and happy listening!
Bob