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 several 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 .mssqlserver2008r. 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.mssqlserver2008r..d.ServerName;SQLSRV-DB01;InstanceName;MSSQLSERVER2008R;IsClustered;No;Version;10.50.4000.0;tcp;1433;;