receiving UDP packets send to 127.0.0.1 when using SO_REUSEADDR

I am trying to make a set of applications discover each other using UDP and broadcasting messages. The applications will periodically send out an UDP packet saying who they are and what they can do. Initially we only use to broadcast to INADDR_BROADCAST.

All applications share the same port to listen to (hence the SO_REUSEADDR). An event kernel object is attached to the socket so we get notified when we can fetch a new packet and use that in a WaitFor loop. The socket is used async.

Opening the socket:

FBroadcastSocket := socket( AF_INET, SOCK_DGRAM, IPPROTO_UDP );
if FBroadcastSocket = INVALID_SOCKET then Exit;
i := 1;
setsockopt( FBroadcastSocket, SOL_SOCKET, SO_REUSEADDR, Pointer( @i ), sizeof( i ) );
i := 1;
setsockopt( FBroadcastSocket, SOL_SOCKET, SO_BROADCAST, Pointer( @i ), sizeof( i ) );
System.FillChar( A, sizeof( A ), 0 );
A.sin_family      := AF_INET;
A.sin_port        := htons( FBroadcastPort );
A.sin_addr.S_addr := INADDR_ANY;
if bind( FBroadcastSocket, A, sizeof( A ) ) = SOCKET_ERROR then begin
    CloseBroadcastSocket();
    Exit;
end;
WSAEventSelect( FBroadcastSocket, FBroadcastEvent, FD_READ );

Sending out data to a specified list of addresses:

for i := 0 to High( FBroadcastAddr ) do begin
    if sendto( FBroadcastSocket, FBroadcastData[ 0 ], Length( FBroadcastData ), 0, FBroadcastAddr[ i ], sizeof( FBroadcastAddr[ i ] ) ) < 0 then begin
        TLogging.Error( C_S505, [ GetWSAError() ] );
    end;
end;

Receiving packets:

procedure TSocketHandler.DoRecieveBroadcast();
var
    RemoteAddr:    TSockAddrIn;
    i, N:          Integer;
    NetworkEvents: WSANETWORKEVENTS;
    Buffer:        TByteDynArray;
begin
    // Sanity check.
    FillChar( NetworkEvents, sizeof( NetworkEvents ), 0 );
    WSAEnumNetworkEvents( FBroadcastSocket, 0, @NetworkEvents );
    if NetworkEvents.ErrorCode[ FD_READ_BIT ] <> 0 then Exit;

    // Recieve the broadcast