I didn't see this in the documentation (probably just missed it by reading too fast) but the new syntax for joining a UDP Multicast is "udp://@239.0.2.21:2021" Gotta have the "@" sign in there or it wont work.
First, I confirmed that this works fine with VLC 1.0.5 (I knew this because I've been using previous releases of VLC for this purpose for a few years now). Snooping with Wireshark does not even show a IGMP join request from VLC under version 1.1.4. I am attempting to join with the syntax "udp:/...