see test below

--------------------
import java.net.InetAddress;
import java.net.DatagramSocket;
import java.net.DatagramPacket;

public class Test2 {

    public static void main( String[] args ){
        try {

            InetAddress lh = InetAddress.getLocalHost();
            DatagramSocket s = new DatagramSocket(0, lh);
            try {
                DatagramSocket ss = new DatagramSocket(0, lh);
                try {
                    s.connect(ss.getLocalAddress(), ss.getLocalPort());
                    s.disconnect();

                    System.out.println( String.format( "DatagramSocket: (%s, %s), bound = %s, closed = %s, connected = %s",
                                                            s.getLocalAddress(), s.getLocalPort(),
                                                            s.isBound(), s.isClosed(), s.isConnected() ) );
                    byte[] data = { 0, 1, 2 };
                    DatagramPacket p = new DatagramPacket(data, data.length, s.getLocalAddress(), s.getLocalPort());
                    s.setSoTimeout( 10000 );
                    s.send( p );
                    s.receive( p );
                    System.out.println( "OK" );
                } finally {
                    ss.close();
                }
            } finally {
                s.close();
            }
        } catch( Exception x ){
            x.printStackTrace( System.out );
        }
    }
}
--------------------
output:

DatagramSocket: (/10.16.106.217, 33411), bound = true, closed = false, connected = false
java.net.SocketTimeoutException: Receive timed out
        at java.net.PlainDatagramSocketImpl.receive0(Native Method)
        at java.net.PlainDatagramSocketImpl.receive(PlainDatagramSocketImpl.java:136)
        at java.net.DatagramSocket.receive(DatagramSocket.java:712)
        at Test2.main(Test2.java:25)
--------------------

This error appears only on linux OS.
It is interesting that changing order of DatagramSockets creation leads to normal test result.
JCK test
api/java_net/DatagramSocket/index.html#connect[DatagramSocket2016]
is failed