UDP does not guarantee delivery of packets. You are demanding something that is beyond the capabilities of UDP and not in the spirit of its intended use.
How do you know if LabVIEW is really the problem. If you generate packets at full speed, you might saturate all kind of other bottlenecks (e.g. in switches and routers), especially if there is other traffic.
What is your packet rate? How big are the packets? If the packets are very small, your routers might be maxed out way below the theoretical wire speed limit.
I have an application that receives UDP packets, but the rates are probably lower than yours (up to ~2000 packets/s) and I have never lost a packet (I would know because the packets are serially numbered). I use a tight loop containing only the UDP read (with infinite timeout) and a FIFO buffer inplemented as a subVI with uninitialized shift registers.
What is your system CPU load when receiving? I was running into some receiving bottlenecks on very slow systems ('486, Pentium I). How clean is your system? Make sure to disable all other network use (AV updates, Windows updates, spyware, P2P applications, etc).