This worked for me:

        private void ultraGrid1_InitializeRow(object sender, InitializeRowEventArgs e)
        {
            if (e.Row.Index > 4)
                e.Row.Hidden = true;
            else
                e.Row.Hidden = false;
        }

        private void ultraGrid1_AfterSortChange(object sender, BandEventArgs e)
        {
            UltraGrid grid = (UltraGrid)e.Band.Layout.Grid;
            grid.Rows.Refresh(RefreshRow.FireInitializeRow);
            grid.ActiveRowScrollRegion.FirstRow = grid.Rows[0];           
        }

This works good when grid has one band. And what about child bands. How can I limit the number of rows in child bands?

I can't see why having child bands would make any difference. The row.Index would still be the same. Unless you mean you want to show only a total of 4 rows including all the parent and child rows. In that case, I'm not sure that's possible. You would need to somehow get a combined index of all the rows as if they were in one list. 

For child bands Row.Index  equal -1 when row initializing. May be I have to use other event.