Using Wireshark to trace the connection from the Coordinator to the SQL Server, we can see that a connection is attempted on UDP Port 1434.
With the enabled Firewall the connection is blocked, the wireshark shows that connection is attempted serveral times.
Here is an example of a UDP Packet with its stream content:
192.168.2.21 192.168.2.202 UDP 60 Source port: 53147 Destination port: 1434
When the Firewall is off we connection established on the first try, the UDP Packet with its stream content show:
192.168.2.21 192.168.2.202 UDP 60 Source port: 50926 Destination port: 1434