The dummies are representative of the design and dimensions of the three future flagships and we can see how the three sizes compare - from the 6.06-inch Galaxy S22, the 6.55-inch Galaxy S22+, and the (at least) 6.8-inch Galaxy S22 Ultra.
The Galaxy S22 Ultra will indeed have an S Pen embedded into its body, just like the Galaxy Note series. In fact, the overall shape and look of the Galaxy S22 Ultra dummy appears very similar to the ongoing Note model.
Mobile Fun has listed the Galaxy S22 Ultra S Pen, which will be available in Black, White, Red, and Green, which will likely coincide with the colors of the phone itself. The color could end up covering only the cap of the pen (which shows on the bottom of the phone), if this official poster is to be believed.
Putting the Galaxy S22 Ultra dummy next to the Galaxy S21 Ultra, it becomes apparent that the new phone is substantially bigger than the one it replaces. This, in combination with the evident lack of a camera island, could mean the S22 Ultra has a bigger display and possibly as big a battery (5,000mAh) - but that's pure speculation at this point.
Finally, here's a look at the Galaxy S20 Ultra, the S21 Ultra, and the S22 Ultra, neatly lined up.