Just played around with him, and eventually finished it. I didn't Mug it, I don't have any Three Stars, and no Ultima Stones. What the hell is going on...?

Killed him again, and got my stones this time.
Still, I find it very disturbing that he didn't give me anything last time.

The Ultima Stone drop rate for Ultima Weapon is high, it's just that it's not 100%. It's very much possible for you to end up not getting any.

Yeah, I started researching immediately after, and discovered it.
said to be 75% drop rate.