Hello,
I have the same problem as this guy: http://www.digi.com/support/forum/46918/cant-receive-udp-packets-when-initially-connecting-xbee-wifi
I have to write TCP as the IP Protocol and then UDP back to be able to send/receive with UDP between my laptop and the XBee.
Config:
Infrastructure
Soft AP mode
DHCP
Firmware rev: 2026