Ok, I should have read more carefully for this. It looks like each UltraGridBand contains a ColumnFiltersCollection. So, to get the desired behavior, you can create separate ColumnFilters for each desired condition. In this case, one condition would be defined as:
Dim columnFilter As ColumnFilter
columnFilter.LogicalOperator = FilterLogicalOperator.Or
For Each element In MyCollection
columnFilter.FilterConditions.Add(FilterComparisionOperator.Equals, element)
Next
and then you could do a:
Band.ColumnFilters.Add(columnFilter)
Band.ColumnFilters.Add(otherColumnFilter1)
Band.ColumnFilters.Add(otherColumnFilter2)
Band.ColumnFilters.Add(otherColumnFilter3)
See documentation (specifically Remarks) here. Also this code's probably not 100% correct - haven't tested it yet. Should get the idea across though.