As part of our on-going investigation into the magnetic field properties of ultracool dwarfs, we present simultaneous radio, X-ray, and Hα observations of three M9.5-L2.5 dwarfs (BRI 0021-0214, LSR 060230.4+391059, and 2MASS J052338.2-140302). We do not detect X-ray or radio emission from any of the three sources, despite previous detections of radio emission from BRI 0021 and 2M0523-14. Steady and variable Hα emission are detected from 2M0523-14 and BRI 0021, respectively, while no Hα emission is detected from LSR 0602+39. Overall, our survey of nine M8-L5 dwarfs doubles the number of ultracool dwarfs observed in X-rays, and triples the number of L dwarfs, providing in addition the deepest limits to date, log(L X/L bol) lsim -5. With this larger sample we find the first clear evidence for a substantial reduction in X-ray activity, by about two orders of magnitude, from mid-M to mid-L dwarfs. We find that the decline in Hα roughly follows L Hα/L bol vprop 10-0.4×(SP-6) for SP >= 6, where SP = 0 for spectral type M0. In the radio band, however, the luminosity remains relatively unchanged from M0 to L4, leading to a substantial increase in L rad/L bol. Our survey also provides the first comprehensive set of simultaneous radio/X-ray/Hα observations of ultracool dwarfs, and reveals a clear breakdown of the radio/X-ray correlation beyond spectral type M7, evolving smoothly from L ν,rad/L X ≈ 10-15.5 to ~10-11.5 Hz-1 over the narrow spectral-type range M7-M9. This breakdown reflects the substantial reduction in X-ray activity beyond M7, but its physical origin remains unclear since, as evidenced by the uniform radio emission, there is no drop in the field dissipation and particle acceleration efficiency. Based on the results of our survey, we conclude that a further investigation of magnetic activity in ultracool dwarfs will benefit from a two-pronged approach: multi-rotation observations of nearby known active sources and a snapshot survey of a large sample within ~50 pc to uncover rare flaring objects.