TCP            UDP
 UA1 -------- Proxy --------- UA2

Lets assume that this proxy is stateless, meaning that it holds the TCP connection state but otherwise does not store transaction state. According to the specification, requests are not retransmitted over TCP. So, the UA1 sends its request, say an INVITE, just once over the TCP connection. The proxy receives this, and forwards it to UA2. Its lost. UA1 will not retransmit (since its TCP), and neither will the proxy, since its stateless, thus, the message is lost.