Also you can easily have the TTL expired message going via a different route on the return path (and indeed the same applies with your normal connections, asymetric routing can be a pain - especially in networks with rpf issues (multicast ones are a particular pain point), and with stateful firewalls, but most of the time it's fine. You just need to be aware.

Obviously you know, but for anyone else reading, a modern traceroute tool (like mtr) can send icmp, udp or tcp, on generic or specific ports. Indeed the default for mtr on my laptop is to use icmp.