This message means your connection is not working properly using the UDP connection method/protocol. 

The UDP protocol is generally faster, but less reliable and is the preferred method of communication with your computer. 

Loosing UDP, typically, happens when you are running from behind a firewall or proxy of some sort.  It can also happen if your connection fails, as Aces High II tries an alternate method of connection.  Or the failure can stem from your anti-virus program.

If Aces High II always does this, but works fine, you likely are behind a firewall that will not let the UDP packets through.