TL;DR
And, indeed, it is Ralof who mentions that the Empire "wouldn't dare give Ulfric a fair trial." Gerdur is surprised and angry at the notion of summary execution, calling the Empire "cowards" when Ralof mentions it.
Also, Ralof says, "We were outnumbered five to one, at least. Ulfric ordered us to stop fighting. Didn't want us all to die for nothing, I guess. I thought they were taking us south to Cyrodil. Parade us in front of the Emperor."
Why would he believe that this a likely scenario?
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At the mill in Riverwood:
Ralof: I can't remember when I last slept... Where to start? Well, the news you heard about Ulfric was true. The Imperials ambushed outside Darkwater Crossing. Like they knew exactly where we'd be. That was... two days ago now. We stopped in Helgen this morning, and I thought it was all over. Had us lined up to the headman's axe and ready to start chopping.
Gerdur: The cowards!
Ralof: They wouldn't dare give Ulfric a fair trial. Treason, for fighting for your own people! All of Skyrim would have seen the truth then.
If when you are walking to Riverwood, you ask Ralof about the ambush, he says this:
Prisoner: How did you end up as Imperial prisoners?
Ralof: I was assigned to Ulfric's guard. We were on our way to Darkwater Crossing, in the south of Eastmarch. Imperials were waiting for us. As pretty an ambush as I ever saw. We were outnumbered five to one, at least. Ulfric ordered us to stop fighting. Didn't want us all to die for nothing, I guess. I thought they were taking us south to Cyrodil. Parade us in front of the Emperor. But then we stopped in Helgen, and you know the rest.
About Balgruuf, Ralof and Gerdur say:
Ralof: Jarl Balgruuf still hasn't declared for one side or the other, so at least you won't run into any Imperials along the way.
Gerdur: Jarl Balgruuf? I don't want to be disrespectful, as he's ruled Whiterun Hold well for years, but he seems in over his head now. He's been trying to stay out of the war, but it can't last. He's going to have to pick a side. I'm afraid he's going to make the wrong choice.
Prisoner: Why? Is he loyal to the Empire?
Gerdur: I wouldn't say that. But he and Ulfric have been at odds for years, and I'm afraid Balgruuf will end up siding with the Empire because of it. But it's hard to believe that even Balgruuf would choose Elisif over Ulfric.
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Hmm. A personal feud? I probably heard this dialogue over a year ago, and never bothered to listen to it again because I don't remember it. I am intrigued. I want to know what Balgruuf and Ulfric were at odds over.