Yun is based on Linux that has full stack of TCP/UDP. It answer PnP problem by implemented Zero-configuration networking via Avahi (similar to Apple Bonjour). Avahi uses IP multicast User Datagram Protocol (UDP) packets.
Beside broadcast, anytime low-latency, real-time overweight guarantee packet delivery and sequencing such as audio or video stream use UDP at most case.
My "Let's stay in TCP" which only stay bridge between Arduino and Yun.
Lets stay TCP and UDP :P