Ultima may not be the next big villain, in fact I agree with Cleretic's points that it would take a lot to make this villain interesting considering the fact that we already defeated a version of it, but its existence opens the doors to other potential threats. I haven't been able to find confirmation that Ultima is an extradimensional being, but during the events of Pandaemonium, Lahabrea says he believes she's "not from this star". This would be the only instance that we know of where an alien comes to Etheirys.

I find this single line to be interesting though:

Quote Originally Posted by Claudien
The Allagans made little progress toward penetrating [the Heart of Sabik's] mysteries, but some scholars attribute the fact that they were able to use it at all to theoretical encounters between Allag's researchers and the High Seraph.
Correct me if I'm wrong, but I believe this implies that the Allagans may have somehow contacted Ultima directly, which either meant that she visited us again, or that they had enough technology to find a way to contact her.
This scenario is somewhat similar to our current predicament with the Interdimensional Key, where we are able to use it but not understand it. Since the most likely theory is that the key is a piece of Auracite and also considering that Alexandria has equally advanced technology compared to Allag, this could be the way they find to connect these two stories.

Regardless, I think the most interesting questions are where did Ultima come from, and are there other beings like her?