As the culmination of all the various alternate realities told in Marvel's What If..?, the finale became something like every Avengers movie where the heroes from different movies come together in order to defeat the supervillain threatening something and they have to stand up for the others who can't. In this canon show, it is the Guardians of the Multiverse and they literally saved all the universes.
Who are the Guardians of the Multiverse in Marvel's What If..? Finale
Ultron was too much to be stopped by one hero so, as a way of his intervention, Uatu traveled through some to get his chosen ones: Captain Carter, Gamora who wields the two-sided sword of Thanos, Killmonger who is now the Black Panther, Star-Lord T'Challa, and Party Thor. They were gathered together, along with Doctor Strange Supreme, to face the evil AI with the six Infinity Stones.
While the intervention of Uatu remained minimal, just gathering those who would fight Ultron, he formed one of the most badass teams ever formed in the MCU, with all due respect to those in the live-action movies, of course. The Guardians of the Multiverse became a team as they fight Ultron and save the multiverse.
Surprisingly, Uatu did not include Natasha from the Age of Ultron universe considering that he looked at her as the last hope of the universe. Still, it is where she is where Uatu brought the final battle in so it seems that impliedly, she is included in the team in the first place, and possibly, Uatu knew that Natasha would be joining the Guardians of the Multiverse the moment they arrive.
Related: Here's the Voice Cast for Marvel's What If...? Episode 9
The brain behind the team is definitely Doctor Strange Supreme who gave all of them protection spells so they would not get hurt. In the end, it was also him who trapped Ultron-Zola and Killmonger in the middle of a joust between the stones as he froze time at the perfect moment wherein no villain holds all six Infinity stones and it remained in suspension, away from the hands of any of the villains.
Doctor Strange Supreme pledged to look after the pocket universe where time is suspended between Killmonger and Ultron-Zola, Party Thor gets his date with Jane, Star-Lord T'Challa comes back to Earth and reunites with Peter Quill, and Gamora is back with her new best friend Stark in an amazing suit possibly for outer space.
Captain Carter went back to when she was taken despite wanting to be in another time and she knows that is for the betterment of everyone. She even got a chance that Steve might be alive in the post-credits scene. As for Natasha, Uatu had her placed in another, the one where her variant died because of Hank Pym, and he got reunited with Nick Fury on a SHIELD helicarrier while fighting – kind of her scene, right?
All episodes of Marvel's What If...? Season 1 are available to stream on Disney+.