UDPException is a procedure used to execute exception handling routines for the server when an exception occurs during execution of the listener thread. Exceptions may be raised if a socket handle for the server bindings becomes invalid while receiving datagrams or exeuting the UDPRead method. 

Exceptions in the listener thread are ignored after server notification to allow the listener thread to receive subsequent datagrams transmissions. 

UDPException is called using the Synchronize method when the server is not using threaded events.

TIdUDPServer.OnUDPExeption 

TIdUDPServer.ThreadEvent 

UDPRead