I have exactly the same problem so you are not alone with this.
Everything is working fine in the emulator and also in the phone everything seems to work except no data is received. I'm using Nokia E70 + developer license.
Here is my connection code which works fine in the emulator.
// Creating connection classes...
iSocketServ = new (ELeave) RSocketServ;
iConnection = new (ELeave) RConnection;
iSocket = new (ELeave) RSocket;
User::LeaveIfError( iSocketServ->Connect() );
// Here phone asked the WLAN access point I'm using.
User::LeaveIfError( iConnection->Open(*iSocketServ) );
User::LeaveIfError( iConnection->Start() );
// ...opening socket...
User::LeaveIfError( iSocket->Open( *iSocketServ, KAfInet, KSockDatagram, KProtocolInetUdp, *iConnection) );
User::LeaveIfError( iSocket->SetLocalPort( iServerPort ) );
User::LeaveIfError( iSocket->SetOpt( KSoReuseAddr, KProtocolInetIp, 1 ) );
// ...and here emulator is receiving data but the phone isn't.
iSocket->RecvFrom( iDataBuf, iSockAddrCurrent, 0 , iStatus );