When application setup is using UDP connection, and it is experiencing an issue on the UDP communication, as a first check you want to verify whether the UDP traffic is allowed over the network including the firewall(s). For TCP traffic you can use telnet as simple OS command tool, but telnet is not appropriate for UDP.
On a client station one would then typically use a network sniffer as Wireshark to monitor that the UDP traffic can be delivered and received. On a server in the data center this is typical not allowed. And the Windows Server does not include itself a command to verify UDP communication. But you can easily create a validation setup yourself via Windows PowerShell.
A good example/inspiration is post Test UDP connection with PowerShell.