You could do something like handle BeforeRowExpanded, and conditionally call CollapseAll when the row being expanded is in a given band.

Example:
this.ultraGrid1.BeforeRowExpanded += new CancelableRowEventHandler(ultraGrid1_BeforeRowExpanded);

void ultraGrid1_BeforeRowExpanded(object sender, CancelableRowEventArgs e)
{
    if ( e.Row.Band.Index == 0 )
        e.Row.CollapseAll();
}