The CSOCKS FAQ
Q) Why csocks doesn't work with all UDP applications (like traceroute..)?
R) This is a Socks RFC limitation. Traceroute and other applications use a socket type SOCK_RAW (see man page of socket) that implement propretary protocol (f.e. ICMP use SOCK_RAW type). CSOCKS is RFC compliant and implement UDP support only for SOCK_DGRAM sockets.
Q) Why csocks doesn't socksify my application that BIND UDP socket?
R) This is another Socks RFC limitation. UDP Bind is not supported by Socks RFC. Some applications, like NEC SOCKS, implements a meccanism of SUB-COMMAND for this scope, but this is more than SOCKS RFC and is not supported (for now...) by csocks.