A common surge protector will stop voltage spikes and surges, but not the violent, catastrophic burst of current from a close lightning strike. Direct lightning current is simply too big to protect with a little electronic device inside a power strip, or even a hefty UPS unit. If your UPS or surge protector is in the way of the lightning’s path, all or part of the lightning will just flash over or through the device – regardless of the amount of capacitors and battery banks involved.
Some could argue that the risk of a direct strike to any given house is too low to justify unplugging everything for every storm that passes overhead. There is some truth to that. It’s wise then to make sure your homeowner’s or renter’s insurance covers lightning damage, and all of your devices are inventoried and covered by the policy. Insured expensive electronics can be replaced, after all. However, consider irreplaceables such as the data saved on your computer (photos, videos, work files, etc). You can mitigate that risk by performing frequent offsite backups and/or storing data on an external hard drive that you can unplug when needed.