The video is very different, the overhead is a lot more, 128kbit vs 2Mbps for example. On top of that, a video player will try to buffer ahead enough video to make sure you won't get and buffering later on, which means it needs to measure your bandwidth and try to guess how much.
UDP can be nearly instant except in for b-frames, however if it's over UDP is probably over transport stream which has it's own buffering levels built in to make sure the decoder has a large enough buffer.