Ultron does not work with Star Wars starter set

Got the Star Wars starter pack for Wii U with Anakin and Ahsoka.

Bought Hiro (Big Hero 6) and Ultron figures and they don't work?

This confuses me. I thought Infinity was compatible with ALL figures?

What am I missing?

Everyone works in the Toy Box, and with many of the Toy Boxes you can download (although some require a specific figure). The Play Sets are generally limited to certain figures aligned with that set--the starter set only works with Anakin, Asohka, Yoda, Obi-Wan, and Darth Maul. With some Play Sets you can unlock access to other characters (the various Star Wars sets have coins in them that unlock all the other Star Wars characters--but only Star Wars characters), while others are more limited (Inside Out is only the 5 characters from the movie). There will be a Marvel Play Set in a couple of months, and presumably all 2.0 and 3.0 Marvel characters will work with it, but even then I doubt Hiro/Baymax work with it, as they don't technically fall under the Marvel line. If you want to do things like Anakin teaming up with (or fighting against) Ultron, that's pure Toy Box.

There is an icon on every figure's package showing what Playsets, if any that character is compatible with.

Yes, this seems like the normal (and understandable) confusion between compatibility. All of the figures released so far can be used in the 3.0 toy box mode. The playsets, which are the Star Wars Themed games, are only compatible with the Star Wars figures.