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://239.0.2.21:2021". I looked through the documentation, and this looks like the correct syntax. Is UDP Multicast broken with 1.1.4?
I will try to test with other 1.1.x releases as well as test under corresponding Linux VLC releases.