NMUDP shotdown blocking

I have a plug-in application connecting two Win XP PCs.
It is written in D6 prof.

It is the same app running on both PCs and they sort of connect applications on different PCs instead of having to run them all on one. (That is possible, however!)

The data going back and forth is text and binary streams.
I use the NMUDP component, and everything works great!

Only thing is, that Windows cannot close the plug-in.
CloseForm does not run, just as none of the close down messages from Windows can be captured.
(Wm_Close, WM_EndSession and the respective Query messages)
If I send a WM_Close from one of my other applications, the plug-in closes down!

Is there an easy way out of this, or do I need to rewrite my application again using some Client/server IndyUDP or what ever?
(I rewrote it some years back, when Client/server sockets failed, when we switched from Win NT. Somebody in here advised using NMUDP)

Can two IndyUDP servers talk to each other, or do I need both Client and Server?

Still: One application, two identical copies running on each their PC. (Different setup through .ini files is used.)
.