I didn't see a way to make the grid do this itself but here's some code that can store and restore the expanded state of a heirarchical ultrawebgrid. It might be slightly convoluted with the internal class but because it has to store heirarchical information it seemed easiest to do it this way.

 If you can store the expanded state in the session before they navigate away then you can restore the expanded state on page load.

private static void RestoreExpandedState(UltraWebGrid ultraWebGrid, List<RowIndex> _expandedRows)
{
    RowsCollection rows = ultraWebGrid.Rows;
    RestoreExpandedStateRecursive(_expandedRows, rows);

}

private static void RestoreExpandedStateRecursive(List<RowIndex> rowIndexes, RowsCollection rows)
{
    foreach (UltraGridRow row in rows)
    {
        RowIndex rowIndexFromList = GetRowIndexFromExpandedList(rowIndexes, row);

        if (rowIndexFromList != null)
        {
            row.Expand(false); if (row.Rows != null)
            {
                RestoreExpandedStateRecursive(rowIndexFromList.ChildIndexes, row.Rows);

            }
        }
    }
}

private static void StoreExpandedState(UltraWebGrid ultraWebGrid, List<RowIndex> _expandedRows)
{
    int level = 0;
    RowsCollection rows = ultraWebGrid.Rows;

    StoreExpandedStateRecursive(_expandedRows, level, rows);
}

private static void StoreExpandedStateRecursive(List<RowIndex> _expandedRows, int level, RowsCollection rows)
{
    foreach (UltraGridRow row in rows)
    {
        if (row.Expanded)
        {
            List<RowIndex> childIndexes = new List<RowIndex>();
            StoreExpandedStateRecursive(childIndexes, level + 1, row.Rows);

            RowIndex rowIndex = new RowIndex(level, row.Index, childIndexes);
            _expandedRows.Add(rowIndex);

        }
    }
}

private static RowIndex GetRowIndexFromExpandedList(List<RowIndex> rowIndexes, UltraGridRow row)
{
    return rowIndexes.Find(delegate(RowIndex rowIndex)
    {
        return row.Index == rowIndex.Index;
    });
}

class RowIndex
{
    private int _Level;
    private int _Index;

    private List<RowIndex> _ChildIndexes;
    public RowIndex(int level, int index, List<RowIndex> childIndexes)
    {
        _Level = level;
        _Index = index;
        _ChildIndexes = childIndexes;
    }

    public int Index
    {
        get { return _Index; }
        set { _Index = value; }
    }

    public int Level
    {
        get { return _Level; }
        set { _Level = value; }
    }

    public List<RowIndex> ChildIndexes
    {
        get { return _ChildIndexes; }
        set { _ChildIndexes = value; }
    }
}

Edit: Fixed the formatting of the code.