Yes; the following code sample demonstrates how using the IUIElementCreationFilter interface:

this.ultraListView1.CreationFilter = new SortIndicatorCreationFilter( ascendingImage, descendingImage );

public class SortIndicatorCreationFilter : IUIElementCreationFilter
{
    private Image imageAsc = null;
    private Image imageDesc = null;

    public SortIndicatorCreationFilter( Image imageAsc, Image imageDesc )
    {
        this.imageAsc = imageAsc;
        this.imageDesc= imageDesc;
    }

    void IUIElementCreationFilter.AfterCreateChildElements(UIElement parent)
    {
        UltraListViewColumnHeaderUIElement headerElement = parent as UltraListViewColumnHeaderUIElement;
        if ( headerElement != null )
        {
            UltraListViewSortIndicatorUIElement sortIndicator =
                headerElement.GetDescendant( typeof(UltraListViewSortIndicatorUIElement) ) as
                UltraListViewSortIndicatorUIElement;

            if ( sortIndicator != null )
            {
                UltraListViewColumnBase column = headerElement.Column;
                Sorting sorting = column.Sorting;
                Image image = sorting == Sorting.Ascending ? this.imageAsc : this.imageDesc;
                Rectangle rect = sortIndicator.Rect;
                headerElement.ChildElements.Remove( sortIndicator );
                ImageUIElement imageElement = new ImageUIElement( headerElement, image );
                imageElement.Rect = rect;
                headerElement.ChildElements.Add( imageElement );
            }
        }
    }

    bool IUIElementCreationFilter.BeforeCreateChildElements(UIElement parent)
    {
        return false;
    }
}