For MIDP 1.0, HTTP client networking is the only mandatory protocol. But MIDP is based on CLDC, and CLDC has a framework that could support datagrams, sockets etc. The CLDC spec also has some examples illustrating what that would look like, and some manufacturers’ MIDP implementations include TCP sockets and even server sockets. But e.g. Nokia’s phones don’t yet support anything but HTTP client networking.
A big constraint is that many phones do their HTTP networking using the WAP protocol stack rather than the TCP/IP protocol stack; the WAP stack doesn’t include TCP or UDP, so the phones simply can’t implement those protocols.
MIDP 2.0 includes official but still optional support for SocketConnection, ServerSocketConnection and UDPDatagramConnection. MIDP phones won’t be out until perhaps the middle of next year, and even then most phones out there will still be MIDP 1.0 phones.