For trivial messages (no escape sequences, no options), echo is fine. As soon as you need something more complex, you shoud use printf which is portable (i.e. behave the same regardless of the OS) and allows much better formatting, being designed from the same name C function.
Should you want to call echo in your example, the correct way would be either:
echo -n "blah" >/dev/udp/localhost/8125 or
echo "blah\c" >/dev/udp/localhost/8125 depending on the echo implementation you use.