I haven’t used UDP with Machines myself, but previously, Thomas (eng at Fly) did say that UDP should wake Machines up: Machines first impressions - #3 by thomas … If it isn’t, it is likely a bug.
Btw, raw TCP and UDP don’t work if you don’t allocate a dedicated IPv4 (costs $2/mo) to your Fly app: TCP and UDP service ports don't work - #2 by ignoramous (today, UDP on Fly works over dedicated IPv4 only, anyway)