To elaborate, the new Pokemon in USUM don't exist within Sun and Moon's programming. Let's say you want to put Poipole in your game, for example. The game will be told "this slot in the PC contains Pokemon #803, with these moves, this many experience points, this many Effort Value points, these IVs, etc." But in Sun and Moon, there is no Pokemon #803 within the game's programming to source the remaining information from, like what its name is, what its base stats are, what it looks like, and so on. I'm not familiar with PKHeX, but it's probably stopping you from adding the PK7 files to your Sun/Moon save file to keep you from crashing the game as it tries to load something that (again, with the context of the original Sun and Moon) doesn't exist.
Which new Pokemon? Do you mean the new forms for Shaymin, Rotom, and Giratina? Those reverted back to the old versions (which already existed in DP) when you traded them, and you couldn't trade a Pokemon holding a Griseous Orb to DP because... the item didn't exist in the DP's programming.
The new Pokemon in Ultra Sun and Ultra Moon are completely, 100% new, even though the games are ostensibly of the same generation of games as Sun and Moon.