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Ok, I found the BUG.
The function BuildLRQ was missing this line after the call
to GetLocalAdress:

ReplySocket->GetHostAddress( ReplyAddr );

Also, comment the following line:
ReplyAddr = MyAddr; // ReplyAddr is probably INADDR_ANY

Otherwise the reply ip address in the LRQ is 0.0.0.0 !!!

Joao Filipe Santos