You could send an ICMP packet first to make sure the receiving side is reachable.

Well, you can, but you cannot be sure of anything regarding its answer. ICMP is a different protocol than UDP. Many routers/firewalls will block ICMP echos (or drop them on the ground) giving you false negatives about reachability. Or worse, a firewall may actually answer ICMP requests on behalf of its hosts on the inside - suggesting the host is up while it isn't. Or UDP traffic may be blocked while ICMP traffic isn't.

Sending an ICMP packet may give you some insight, but you cannot be 100% sure.

As for the OP: it seems to me that you want services from the network which TCP gives you, but UDP doesn't. Perhaps the OP should use TCP.