A couple of general points. One, yes, add a timeout to your receiving loop. In a similar example, I just used the timeout method of the IO::Socket module. That was for TCP, but I assume there's a UDP equivalent. Second, you can use the fact that you now know you'll iterate through your loop once every some interval, you can use that opportunity to call $mw->update. So the outline is:

# setup MainWindow $mw
# setup socket with timeout
sub myloop {
   while (1) {
       #read from socket;
       #if anything read, deal with it;
       $mw->update();
   }
}
$mw->after(1, \&myloop);
MainLoop;
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This way the main loop initializes itself and renders your window, but then your code takes over and does the GUI update as often as needed.