SG is configured at a VMI level and have traffic to allow ingress traffic both TCP as well UDP.

However the udp traffic is not getting established. The reason being udp traffic is being dropped at vRoute by SG rule.

TCP work for that setup (like, flow mode), without being packet mode, but the UDP traffic is getting dropped, for the same Security Group configuration?

There was a Asymmetric routing in place and that was causing the SG to behaviour unexpected.

Both Source and Destination VM's are hosted in same vRouter. But VMI's are hosted in two different VN's

Both the VN's were configured with same RT, causing the routes to be leaked to each other.

This is triggering forwarding and reverse path being different.