Looking at some of the recent posts I think it's safe to assume that AS3 is supported now. Is it fully integrated? Also should I be publishing my swf using flash player 10? (outdated tutorials can be confusing! :-p)
Edit: Is working with CLICK necessary/recommended?
Right now, unless your a casual hobbyist, Stay away from AS3. Run, as fast as you can.
AS3 has only been recently released, (UDK-2011-11), along with some really exciting performance updates. Unfortunately it released it LONG before it was ready, and the result is a really unstable product where a lot of important previously existing functionality no longer works. Not to mention there is no documentation to tell you what works and what does not since that release. So its really a set of fun surprises right now.
Hopefully soon they will address these issues, or at least give an official response.
If you want to use scaleform I would recommend you use AS2 and UDK-2011-10 release, as that was the last stable release. There are several larger UDK projects doing it this way, mine included.
.... and yes, use CLIK. While its extremely awkward, if you have a complex UI all but required given how flash handles components out-of-the-box.
Having recently attempted to get AS3 going myself, even with alittle bit of Flex background, I had alot of issues. I settled on using AS2 even though I would have preferred AS3 as its the first version of the language I learnt and I didnt want to undo that by going backwards then forwards versions again. The main issue is the lack of tutorials covering AS3 and clik, there isnt even many generic ones not specifically related to UDK I could find and there is alot for AS2 and clik specifically related to UDK.