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With TCP there are built in listeners on OSs which you can use to test. Also TCP will work before UDP. For whatever reason firewalls and such do weird things with UDP traffic. I always use a cli tool that I can't remember the name of for testing.
What are these "built in listeners" that you speak of, and which OS's can I find this on?
This doesn't really explain why troubleshooting is more difficult, but rather that firewalls often cause trouble for UDP. My question was "why would diagnosing a UDP problem be harder than anything else?", not "why is UDP more problematic?". I'm fully aware that some firewalls are configured with absurd parameters, like blocking ICMP, QUIC, or even TLS in some bizarre situations. But my tools for debugging network troubles have always been the same: tcpdump for passive tracing, nc to coerce an active response, and icmp/icmp6 ping for basic connectivity and MTU verification.
Whether it's UDP or anything other protocol, those tools have proven sufficient for me. Do you use something else?
For built in listeners use ncat, but nmap package is not always included. If you are on Windows find some listener Poweshell script, it will be under 10 lines, with Test-Connection. When I was a SysAdmin one repeated problem was UDP traffic was not working. When you tested the TCP port it would work, verifying that the connection is there, but UDP for a variety of reasons is problematic.