that is right. The SOCKS for now only supports TCP based connections, not UDP.
We are working on UDP support currently.
We hit this problem just this week..... There seems to be a thought that the latest version (7.6.0?) might resolve the issue. This will take us a little while to schedule, test and implement..... Did you find a work around to the problem? Did you get anythimg from bloomberg that helped?
Sure the new Version supports Socks UDP.
We still use 7.3 on our productive systems. Since UDP Socks is only used in Videostreaming (by bbloomberg) we stay with 7.3. We do not use this feature any more.