Connect()'ing a UDP socket assigns the specified peer IP/port as a static association, so that subsequent sends always go only to that peer, and only packets from that peer can be received. It also enabled better error reporting. If a send fails with an ICMP error, such as host/port unreachable, a subsequent send/read can fail with an appropriate error code.
On a Connect'ed socket, you can use Send() and Receive(), you are not restricted to SendTo() and ReceiveFrom().