Previously, `UDPTransport::SendMessageInternal` dynamically allocated a
`char[]` and used a `goto fail` to make sure that it was properly
deleted. Something like:

```c++
    char *buf = new char[100];
    if (...) {
        ...
        goto fail;
    } else if (...) {
        ...
        goto fail;
    } else {
        ...
    }

fail:
     delete [] buf;
     return false;
```

Now, the array is stored in a `unique_ptr` so that it's properly
deallocated when the function returns, without needing the goto fail.