Well, they would if they knew. I have purchased a variety of random computing hardware from Chinese suppliers and despite the product pages claiming they had no on-board OS installed, they came with cracked versions of Windows. They do it because customers want an OS but don't want to shell out for a license. It costs them nothing to pirate software (especially when they lie about it) and getting caught and actually blocked is very hard. This isn't like them intercepting a shipment of counterfeit purses where you can clearly tell by looking at the item. You'd have to boot the computers and then verify that they have an OS installed and then that it's properly licensed, which is well out of reach for a random customs officer.

> why would Windows Ultimate indicate piracy?

It's a very expensive license and, if you have any experience pirating Windows (I cough don't) that's usually what you find since if you're going to steal something, why steal the shittier, less featurefull version?

Microsoft sells an embedded, stripped down version of Windows with extended support life for industrial machines like this. Ultimate is intended for workstations and power users.