Multiple conversations get interlaced and confusion reigns.
There are (for now) two basic ways to move data between these devices: MRX/MWX (Modbus/TCP) and DLRX/DLWX(DL peer to peer).
Since Modbus/TCP is built on TCP...which is connection based...if you aim to talk to more than one thing, you should create a Modbus/TCP Client for every device you want to talk to. It isn't required, but it will greatly enhance the performance.
DL peer to peer, on the other hand, is built on UDP...which is unconnected...and if you want to talk to more than one thing, there is no significant performance penalty to do so using only one connection. Which is a very good thing...because it isn't possible to create additional clients for DLRX/DLWX.
The UDP Connection device that you referenced has nothing to do with DLRX/DLWX. Those devices are for creating custom protocols.
So the simple answer is to use DLRX/DLWX on the one and only built-in client. Unless you just really wanna use Modbus/TCP, then use MRX/MWX, and create a Modbus/TCP Client for each target device that you wish to talk to.