I've been trying to transfer my stuff from an Xperia Z3 (on 4.4.4) to a Z Ultra (on 5.1.1) and noticed the same. The mobile transfer app doesn't transfer a lot of stuff. Most glaringly, it didn't transfer my messages. I've been trying to get more stuff transferred by using the PC Companion transfer tool to move stuff from a Z3 backup to the Z Ultra. That's been slightly more successful, but it seems to dump a bunch of stuff in an "XperiaTransfer" folder which you then have to go sort through. Unlike the mobile transfer tool, this doesn't offer to copy your home screen settings

I've also not found a way to copy accounts I had configured on the Z3 to the Z Ultra. Seems like I might have to recreate them all from scratch. All said, a pretty darn painful experience. Andries