Is it an old chain on a new cassette or new chain on old cassette? Either of those combinations can cause skipping under power due to wear.

Also it may be that some Ultegra and Dura Ace chains are directional, so make sure if yours is that you install it in the proper direction.

Edited to add: I always use a quick link to connect my chains too but usually the KMC link. The Wipperman link may also be directional, check it closely to see if that's so.