The issue where the wizard doesn't understand udcx files has been replicated and should be fixed in SP1.
If you add a SmartObject to the InfoPath form through the InfoPath integration wizard, it will use udcxs automatically if they are at the root level of the SharePoint site in a data source library called 'K2 BlackPearl DataConnections' under a folder called 'InfoPath Web Sevice'. The URL to your ucdx will look like this: 'http://your.moss.server/k2 blackpearl data connections/infopath web service/your.udcx'. A site administrator will have to approve any udcxs put in this library before they are available for use.
An update has been released to address the issue with opening InfoPath Forms using UDCX Data Connections via the InfoPath Integration Wizard.
Check out: http://kb.k2workflow.com/Articles/KB000215.aspx
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