When the UDP port fails to receive data but packet capture can capture the data, why?

During network development today, when sending data to a server, the program listening to UDP ports on the server never received the data. However, after packet capture tools, but what is the reason for capturing data? Fainting .....
The program I made on the server was written as a Windows service, so I couldn't find the problem. I was always depressed and found the possible cause.
In fact, it is still related to the firewall. In general, the firewall of the server is very strict with the port settings, so the firewall may block your information. So how to set it?
First Control Panel ---- Windows Firewall

Click

Click Add program --- and browse the path of your program --- click OK.
This problem has plagued me a lot of time.