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Establishing a "connection" for UDP means that on Linux the underlying socket will deal with ICMP responses about undelivered packages.
The connection gets marked as "closed" by the OS after an "unreachable" ICMP message for the source port arrives.
From what I can tell there is not too much of a performance win for calling connect() except that every packet will have a different source port (at least on 18.04 Bionic Beaver).