That example shows how threads are magnificent beasts on Windows, 50k are feather light in creating and exiting, (notice it might be translation problem as i read killing threads), yet it takes only 4 on my 4-core CPU to destroy my whole OS experience, the example is to show you you are after the wrong reason, creating and exiting threads is fast.

Same as my first post in this thread, use a profiler and it will pin point the long VCL operation.

See you insist on creating one UDPClient per connection on a server, that is wrong, you said you are not assigning and owner, yet in the same phrase they are on DataModule
It could be something missed in translation.

My final words here is, there is no unknown reason for this, there is broken logic and false assumptions, so no, not Windows faults, not network adapter faults, and not Delphi RTL/VCL fault.
Remove the UDPClient creation, make sure you are not creating TDataModule with punch of components on it per client, simplify the logic into one thread per one client doing it all and this freeze will disappear.