The type “Illusion” is printed on the card’s type line purely for flavor. The Ultimus has every other creature type as well.

Like any creature, if Mistform Ultimus becomes another type as the result of a spell or ability, it will lose all its other creature types.

Mistform Ultimus has all creature types even if an effect removes its ability. Type-changing static abilities will apply in layer 4 before effects such as Sudden Spoiling’s remove them in layer 6.