How to answer if you want to set up a Company that is going to be the Shareholder of Another Company?

You should answer No on the question.

Q: Does not it make the company the ultimate holding company?

A: No, in this case the company you are setting up will not have an UHC.

Q: When to answer Yes to the question?

A: It is when a company will be owned by a holding or 'controlling' company. In this example, if the company you are setting up will own the majority shares in a subsidiary company, making the company the "controller" of subsidiary company, the subsidiary will have an UHC (the company you set up). A UHC controls a subsidiary, basically.