The UDP Socket plugin allows you to perform communication without establishing peer-to-peer connections. A single open UDP socket can communicate with a whole group of remote nodes at the same time. This ability can be used, for example, to implement a scanning feature in applications (device auto-discovery).
Another example where the UDP socket can come in handy is when your device hasn't been assigned an IP address: Your only option to reach it is with a UDP broadcast.
These are all things which cannot be done with an ordinary terminal program, even when it "supports UDP". This is because the "support" is normally for connection-oriented UDP, as opposed to the connectionless mode provided by the IO Ninja UDP Socket plugin.