I had an 08 Ultra w/ HK radio, and used a XM radio and iPod. I agree you can only plug an iPod and an XM radio by using a Y connector wired into the back of the radio.
I had problems with the stock HK radio (water shorted out the display after riding in a downpour), and replaced the stock radio with an in-dash Sony from Biketronics. The Sony had a USB port, so I could just take my tunes along on trips on a simple 4G USB drive and left the iPod at home (One less thing to mount).
Hope this helps.