Update WLED, Adalight to use socket instead of WiFiUDP from Ardunio

**Describe the problem you have/What new integration you would like**

I would like to try out WLED or Adalight on my ESPHome device but they are using the Arduino Library. To make it work, communications should be handled by socket and not Arduino. I'm using ESP-IDF.

**Please describe your use case for this integration and alternatives you've tried:**

I would like to use WLED or Adalight on ESP-IDF but I can't compile since the current one requires the Arduino framework.

**Additional context**

Hello !
Jesserockz recently helped me to get E1.31 effect work on my ESP Home lamp.
He made a PR to update the code of this effect to use socket instead of Arduino (since I’m using ESP-IDF) : https://github.com/esphome/esphome/pull/4832
However, I noticed that other effect still have this issue (adalight, wled) and I would also like to try them out since I’m not really satisfied with E1.31

Could somebody apply his patch to these effects too please ? I’m not a good c++ developer and I didn’t succeed to apply it myself.

Anyways, thanks for this wonderful project 👍