After some debugging (non interactive - yeek) I found udp call it in some community library code for a progress bar.
It had to communicate with parfor workers, so I guess that's where UDP comes in.
Not very useful when the warning is inside a parfor loop and hence you cannot interactively debug it... (or at least I don't know how to).
BTW - I tried to turn the warning off but that did not work.
warning('off','instrument:udp:ClassToBeRemoved');
... parfor code ...
warning('on');