Shift-U will only upgrade the ones in cities with barracks, and only if you have enough cash for all of them. If you want to avoid upgrading elites so that they remain available to create leaders, then move them out of barracks before you hit shift-U.
One additional note. If you only can afford to upgrade some of your units, a quick way to do this is to go to the F3 screen and sort your army by "unit" instead of "city." Then you can quickly right click each unit that you want to upgrade until you are out of gold.
One additional note. If you only can afford to upgrade some of your units, a quick way to do this is to go to the F3 screen and sort your army by "unit" instead of "city." Then you can quickly right click each unit that you want to upgrade until you are out of gold.
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