The problem is that your speakers were not designed to reproduce sounds at those frequencies, so instead of faithfully reproducing those sounds (that you can't hear anyway) they may emit unintended artifacts/distortion (that you can hear).

The distortions are not present in the source. They occur because the speaker is a physical device subject to physical limitations and can't perfectly reproduce the waveform. In the process of trying to reproduce the ultrasonic signal, the speaker can produce audible distortions. If the ultrasonic signal is not there to begin with, then it can't possibly cause distortion.

The distortions he's talking about would be introduced during playback by DAC, signal processing, speakers, or amplification.