You could try downloading a file via either method and seeing if the download speeds are drastically different.
The trade-offs between TCP and UDP (regardless of VPN usage) is always the same: You sacrifice speed for reliability as UDP is connectionless and the server sending the data theoretically (depending on the implementation) doesn't care if it reaches the destination or not. This is fine in things like Internet gaming where each packet might be a movement by a user, but in things like encryption where missing bits of data means that an entire message may need to be re-sent, TCP would be more welcome as the time gained by using UDP might be lost by having to re-send an entire message.
Being on the same continent is not generally considered a short distance. I would consider being in the same building, perhaps in the same city as a short distance but not much further than that. The more hops a packet has to go through, the more likely it will be corrupted at some point along the way. If you want to see how many hops it takes to get to your destination, try running a "trace route" command.
Hope I've helped.
