There is a bug with upgrading ethereal uniques, where the item will still list the ethereal bonuses and appear ethereal, yet it doesn't apply the bonus to the item; thus, it's usually better to just leave ethereal exceptional pieces (like Arreat's Face, for example) as exceptionals, as they lose a lot of defense on the upgrade.
Doh, good point Cujo, I thought I had said that, my bad.
I tested out rares for you, and it looks like the bug applies to them too. You might wanna get this verified by someone else, but I had an ethereal piece of plate armor with 33% ed that I upgraded to hellfroge, and it had 702 defense. I then just made an ethereal hellforge plate with 15% ed, and it had over 900 defense, so I'd say the bug in in effect for rares too.
BUT, like Cujo mentioned, this only applies to defense items, not weapons.