I don't think this is a UDP issue. UDP is just a basic network setting. Perhaps they used other fraud detection techniques.
smartest/fastest/lightest way to check if proxy is working?
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right now i use GET on a website that works 24/7 so if i get an error then it means that proxy is offline.
but is there any more lightweight way to do this?
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Not that I know of. You'll need to tunnel through the proxy to really check the connection. I either do a proxy checker site to make sure nothing is leaking, or I just do the simple GET request against the site(s) I'm working with/on.