This probably isn't the answer that you're looking for, but you're approaching this problem the wrong way. :)
Sure, a VST plugin could embed a UDP host, and there are even networking libraries to help you do that. But then you'd need to write a virtual MIDI device which would forward those MIDI packets to your plugin via UDP, which is probably way too much work given the problem that you're trying to solve.
You're better off looking at how your sequencer (or the sequencers which you plan to support) handle MIDI routing, and see if you can route the MIDI data from the synth to your plugin. It shouldn't matter if you are writing an instrument or effect; the VST standard allows both types of plugins to receive MIDI data.