No incoming UDP traffic

I've seen this thread (Unable to send UDP Packet - http://forum.Winhost.com/threads/unable-to-send-udp-packet.7934/) but I am trying to do the "opposite". I have uploaded a simple WCF service which works fine. Now I wanted to add a simple test where I'd listen for incoming UDP traffic. Please note I have enabled "full trust".

I tried binding to "any" address as well as my current public IP address (resolved dynamically) with a system allocated port but I never receive any UDP packet. I have tried two outgoing ISPs, turned off local PC firewall...

Is there anything else I can do to enable incoming UDP traffic? Is this possible at all? Perhaps your policies/firewall allow outgoing but no incoming UDP. Please let me know.

Some C# code:

private readonly UdpClient _udp = new UdpClient(0, AddressFamily.InterNetwork);

...elsewhere...

_udp.BeginReceive(ReceiveCallback, null);
Log("Start! - {0} - {1}", _udp.Client.LocalEndPoint.ToString(), GetIp());

...the callback...

private void ReceiveCallback(IAsyncResult ar)
{
try
{
Log("ReceiveCallback!");
IPEndPoint remoteIp = null;
var data = _udp.EndReceive(ar, ref remoteIp);
Log("ReceiveCallback: {0}", remoteIp.ToString());

_udp.BeginSend(new byte[1], 1, remoteIp, null, null);
_udp.BeginReceive(ReceiveCallback, null);
}
catch
{
}
}