Actually the amnesia is a major symptom of the character, it was done to allow as much backstory to be inventible by the player as possible, obviously a few backstory things were kind of hard to ignore, such as you being a courier, but the vast majority is left open due to the amnesia, which explains why you obviously have no idea who Ulysses is or what he's on about the entire time.
As much as I enjoy his character he was quite confusing the first time around, but I think part of that is because he's just a little bit mad.