Using a heat gun is fine. The edges pulling are a characteristic of Ultracote. It has a lower temp adhesive than Monokote, it stays gooey longer while cooling and the adhesive doesn't seem to be quite as strong in my opinion. This means that the edges can pull if you aren't careful. Make sure you have a 3/8" or so overlap minimum. Be sure not to heat the seam when shrinking whether it is with a heat gun or an iron. Sometimes I will put a couple layers of masking tape over the seam to help protect them from heat or even some wet strips of paper towel or something. It is also good to hold the heat gun back a little further and take your time; don't try to make it instantly shrink or you could over heat it.

Ultracote is a great covering as is Monokote but they have different characteristics that cause peculiarities in both. The heat gun is a great tool but you have to kind of adapt how you use it depending on the covering and what you are doing. It just takes practice. You might make a mistake or two along the way, we all do.