i think it is possible through some hacking.  you can use the ChartDataClicked event to be raised by manipulating the Caps, Chart, Layer, Row, and Column properties of every primitive in the chart's SceneGraph.

        void ultraChart1_FillSceneGraph(object sender, Infragistics.UltraChart.Shared.Events.FillSceneGraphEventArgs e)
        {
            UltraChart theChart = (UltraChart)sender;
            foreach (Primitive p in e.SceneGraph)
            {
                p.Caps |= PCaps.HitTest | PCaps.Tooltip;
                p.Chart = e.ChartCore.ChartType;
                p.Layer = e.ChartCore.GetChartLayer();
                if (p.Row == -1)
                {
                    p.Row = 0;
                }
                if (p.Column == -1)
                {
                    p.Column = 0;
                }
            }
        }

        private void ultraChart1_ChartDataClicked(object sender, Infragistics.UltraChart.Shared.Events.ChartDataEventArgs e)
        {
            MessageBox.Show(e.Primitive.GetType().Name);
        }