Socket policy files work a little differently than HTTP policy files; in particular, they aren't served via HTTP, or at port 80.
Instead, Flash Player checks for a policy file server (port 843 by default), or if necessary, on the socket you're opening (for you, port 2222).
A policy file server is a socket which responds to a <policy-file-request/>
with a valid policy file. What's happening with your message is likely that it's sending its request and getting something other than a policy file back, hence invalid syntax from port 2222.
There are a lot of resources out there, and a number of questions here on SO. Here's one tutorial from Adobe.
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