The UDP sample sketch as well as the PC sample code works fine for me (have tried the PC side code on Ubuntu and MacOS). Its always helpful to post your code for others to look at and potentially try.

There are a bunch of troubleshooting steps but I am thinking that your use of digital pin 10 for the LED is trashing the SPI connection. Does the sample code work for you without the LED attached?
So here we go into assumptions and guesses

I took a look at the poorly documented
YJ page on the wiki and compared it to the more better documented
wiki page for the Wishield 1.0 - my guess/assumption is that the pinouts are the same for the two. If you look at the WiShield 1.0 wiki page you will see that the SPI interface uses digital pins 10-13 (and digital pins 2
OR 8 for the interrupt - and potentially digital pin 9 for the connection LED). Assuming the same is true for the YJ then these pins should not be used for anything else (e.g. an LED connection). If you look at the YJ wiki page "pinout jpg" you will see that pin 13 is marked "SPI" so am thinking that my assumptions are correct - but they may not be...
Please give your setup a try without the LED connected to see if it all works; once you determine that a "baseline" setup works then you can introduce "variables" one at a time (e.g. LED connection) to see where things "go off of the tracks". Once you prove that things are working without the LED then you can try connecting the LED to a pin other than 10-13 and 2/9. FYI the YJ is not switchable between digital pin 2/8 for the interrupt - it is hardwired to use pin 2. I am not sure if the YJ "connection LED" on pin 9 can be "disconnected' to regain the use of pin 9 - disconnecting the connection LED is something that I would do only as a last resort as it is awfully darned handy to be able to look at it for an instant/easy indication of your connection status.
What is your intended use for the LED that you are connecting? To see blinky status when SPI activity is present or as an indicator of some other program state?
Greg