The two component parts of the Ultima Thule contact binary are approximately spherical. Why have the same forces that made the two parts spherical when they were separate not made the whole thing spherical after they joined?
The explanation is that as Ultima and Thule were forming, they collected out of small hunks of debris and piles of accumulated rubble. The key thing is that once U and T became the biggest piles of rubble around, any new rock or pile of rubble that gently approached them would be much smaller then U and T and hit and gently bounce a bit and, on average, settles down in a low spot. The collisions are mostly pretty gentle and even rubble heaps probably mostly stay stuck together because the force of gravity isn't enough to overcome the cohesion of the material.
U and T grow and are -- roughly -- spherical since the things colliding with them and sticking to them are much smaller than they are, there are lots and lots of them, and they have a small tendency to end up in low spots. So a rough sphere emerges.
When U and T finally collide to produce Ultima Thule, it's another gentle collision, and the same thing happens: Gravitational forces are too small to overcome cohesion, so U and T stay pretty much the shape they were in and you have a body which is two spheres stuck together at the point of collision.
U and T formed spherical because they formed out of many much smaller pieces which are probably still pretty distinct, but which are too small to see -- yet. UT formed out of two big pieces which are also still pretty distinct, but much easier to see..