I never got to try this, as I don't have Vuze installed. Nowadays I'm using torrents every time less and less (at least at home), and when I do, uTorrent does the job.
Still, I'm pretty sure that you should be told that "uTP" or "UDP" (Vuze already supports "UDP transfers", but from my experience doesn't use them much even if you tell it to prefer those - perhaps that only works between two Azureus clients?) should appear under the Protocol column for such transfers. Perhaps it's a UI flaw/limitation and uTP is actually in use, something you could check with a program like:
Moo0 ConnectionWatcher (Free) - Check Your Network Connections
Bookmarks