Yes, UDP works anywhere it's supported. 3G networks don't, for example. Current release (1.8.5) also doesn't handle multiple network interfaces properly -- something I addressed in 1.8.6 (which is currently in the Pro repository). However, since you are seeing TCP+UDP shown in the top left corner, it implies that UDP packets arrived successfully, so assuming you are on 1.8.5 and not on an earlier version, it should still work as expected.
I'll release 1.8.6 within a few days (likely this weekend), so maybe the changes there will help as well.