There seems to be something missing in your sentence. It starts to make sense if you add "Despite" or something similar at the beginning: "Despite many immigrants from former British colonies and other parts of U.K., the Welsh take great pride in their country and their heritage." The UK is made up of 4 different countries: Scotland, England, Wales and Northern Ireland. People from Wales, and the language they speak, are called Welsh. The sentence means that the people of Wales are very proud of their distinctive culture and their country, even though there are also many immigrants living there, including immigrants from England, Scotland and Northern Ireland.

As it is, it does not make any sense. Even a comma would not make it better. A guess as to what it might be trying to say: Many immigrants from former British colonies and other parts of the U.K. such as the Welsh take great pride in their country and their heritage. The missing 'the' before 'UK' makes me wonder if it was written by a non-native speaker.