Actually, there are two sound setup tools. One is contained in the UINSTALL.EXE, which managed harddisk installation and where you can select different devices for sound/music and speech. The other is UWSOUND.EXE, which is for configuring DMA, IRQ etc.
And yes, sound effects are indeed handled via midi. Only the speech is digitized. That's why there's a tech problem posting in this forum about hearing piano sounds when walking. *g
I'm using a proper Dosbox installation where I place all my Dos games. Recently I managed to install Munt, the MT-32-Emulator. So I tried it out with Ultima Underworld. At game start I noticed how the emu daemon spat out a lot of debug messages, notifying me of the game uploading samples to the midi "hardware". Those samples were the sound effects.
Sounds good that way. :)