Regarding MTU: As far as I know, windows default MTU for ethernet adapters is 1500. I always attach a 20 bytes key to outgoing UDP packets.
Can I conclude from this that I might have a problem only with packets whose total length is 1480 bytes or more ?
Yes, you will have problems with packets which size is equal or close (so you don’t have 20 bytes in reserve) to MTU. There is a special API in WinpkFilter SetMTUDecrement. In your case if maximum size of the attached data is 20 bytes so you should call SetMTUDecrement with 20 as a parameter, please note that this API adds a driver specific value into the registry and requires reboot to take an effect (driver reads this value from the registry during start up).
Can I catch packets that are directed either to 127.0.0.1 or to the local IP ? are those packets passed down the TCP stack or are they redirected by Windows back to the application at higher levels ?
Packets directed to 127.x.x.x or local IP never reach NDIS level and processed internally by TCP/IP. However, these data can be intercepted at the TDI level http://www.ntkernel.com/w&p.php?id=8 and http://www.ntkernel.com/w&p.php?id=24