It’s fine that it doesn’t exist already, you can go ahead and create it.
In the 5.1 folder, create a Config folder, and there create a new text file and name it DefaultEngine.ini.
Then follow the rest of these workaround instructions for changing the UDP port.
This seems to be a bug on Unreal’s side. If I had to guess then maybe there’s some other application on your computer listening to that port and Unreal doesn’t handle that. Maybe it’s some other reason, but in any case, please report this to our bug submission form.