Ultron waged his war against humanity from the shadows, and Wakanda would have been a significant threat For the majority of his conquest, Ultron had chosen to operate behind the scenes.
He wasn't sweeping the streets killing off people, but rather setting up a plot to destroy humanity.
The Avengers and any relevant governments/institutions for which he was targeting were certainly aware, but in almost all cases he chose subtler movements, concealing his larger plan, and avoiding all out war on humanity.
His original goal seems to have been nuclear destruction, but when that failed, he devised the alternate plan we see him carry out.
To that end, if there's anyone in the world he'd want to avoid coming after him, it'd be Wakanda itself.
As we've seen, Wakanda's entire technological structure is centered around Vibranium, and it's safe to say they know everything humanly known about the metal.
This includes not just it's strengths, but also it's weaknesses.
Vibranium is the threat to the world because of its capabilities and durability, so his plan is already at risk simply by using the substance for which they are so protective.
To extend that into an outright invasion/assault on Wakanda itself would be virtually suicidal.
EDIT:
A quote from Age of Ultron , to affirm that Vibranium was known by at least a few on the outside to have come from Wakanda (and so by extension, we can strongly suspect Ultron knew):
Tony Stark:
If this guy got out of Wakanda with some of their trade goods...
Steve Rogers: I thought your father said he got the last of it?
Bruce Banner: I don't follow.
What comes out of Wakanda?
Tony Stark:
The strongest metal on earth.
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I agree with the above that going after the vibranium would have been a bad idea if Ultron had known, but I disagree that he would have even known it was there.
Ultron had access to the entire internet, and by extension probably a lot of government agencies as well (although not nuclear stuff - thanks Jarvis!).
With the entire world not knowing Wakanda was sitting on a giant stockhouse of vibranium, why would Ultron have this information if all he has to go on is the collective intelligence available via Earth's computers?
It is true that Tony Stark, Steve Rogers, and others knew about the existence of Vibranium in Wakanda; no one knew that there was tons of it.
When learning of the existence of the metal Ultron was likely able to find out:
Vibranium existed
It was the strongest metal on earth
Its only known source was Wakanda Cap's shield was made from it
Klaue was known to have stolen some of it
As far as Ultron, and anyone else, knew of it vibranium was just some super rare metal that happened to be in Wakanda somewhere.
At that point you have two options.
Either try your luck mining Wakanda and hope you find some, or hunt down a known dude that you are pretty sure has some.
Given that Ultron did have a timetable (Avengers closing in)
you have to assume he went with the safe option and went after Klaue.
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Even if Ultron was aware of the presence of Vibranium in Wakanda, he likely would not know what form it was in.
The logical conclusion would be that the bulk of it was in ore form; after all, the world knew Wakandans to be largely pastoral instead of the technological powerhouse it really was.
Ultron likely had neither the knowledge nor the time to process and refine it himself, making Klaue's smuggled shipment of processed vibranium much more attractive.
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In Black Panther , Agent Ross tells Klaue that Klaue got all the Vibranium in Wakanda, and Klaue laughs.
Unless Ross was playing Klaue, that tend to indicate that the US government, and arguably the majority of the world, thinks that there is no more Vibranium left to steal.
If that was the information they had, that was information Ultron had.
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In Black Panther , Ross mentions that Klaue stole all of Wakanda's remaining Vibranium.
Klaue invaded Wakanda before Avengers: Age Of Ultron , so according to the world, Klaue stole all of the Vibranium in Wakanda leaving only small quantities behind.
So Ultron went to him directly as he thought the same too.
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In Avengers: Age of Ultron, Ultron goes to Ulysses Klaue to get the Vibranium he needs to forge a body for himself and Vision so why did he simply not go directly to Wakanda. He had access to the world's entire internet and the information stored on it. He could have gone there and easily managed to get enough Vibranium to make his entire fleet of robots Vibranium bonded. So why does Ultron go to a criminal who got lucky instead of Wakanda?
Why didn't Ultron get the Vibranium directly from Wakanda?
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<marvel><marvel-cinematic-universe><avengers-age-of-ultron>
scifi.stackexchange.com/questions/186635
scifi.stackexchange.com/users/99842/Pikacau's Walker
The answer to this question will be speculative, however, the most likely answer is that Ultron may not have realised how much Vabranium was on Wakanda. Furthermore, even if he did know, it would still have been a more certain option to visit a criminal who does have some than take his chances on a planet where there might be some. In any case, Ultron largely chose to operate behind the scenes and Wakanda would have been a significant threat to him. Ultron could have had a number of reasons for going to Klaue - in order to conceal his moves, because he did not know that the vibranium was actually in Wakanda, because he did not know what form the vibranium was in or because he thought Klaue had already removed all the vibranium from Wakanda.
Ultron goes to Klaue for the vibranium because he wants to hide his actions from Wakanda, fearing a response from the Avengers. Ultron did not go to Wakanda because he did not know Wakanda was sitting on a stockpile of vibranium. Even if Ultron had known about the vibranium in Wakanda he would have known what form it was in. Klaue had previously invaded Wakanda so it makes sense that Ultron would believe that Klaue had taken all the vibranium with him.