Most UPSs do have a built in surge supressor, but in general they are pretty weak.
If you already have a decent surge protector, the chances are it will be several times more powerful than one in the UPS, so getting rid of it for the UPS will be a significant downgrade.
Just remember that if you do want to use a UPS and a surge protector - you should plug the surge protector into the mains, and the UPS into the surge protector - not the other way around.