I got it to work, and I'm posting the solution here
Basically there are several steps that need to be taken in order to get UDIMs to properly work in Octane for Blender:
1. Use the TextureTile node and not just the plain Texture node.
2. Replace the last 4 digits in the UDIM file name to "1%i". So for instance, let's say your file name is the following: SPACESHIP_BASECOLOR_1001.exr in order for Octane to recognize it you have to change it to SPACESHIP_BASECOLOR_1%i.exr (at least this is what is working for me)
3. Now you need to change the number or rows in the node Grid Size (X) and (Y) to 10 and 10 (the second number should be higher if you have more than 100 UDIM tiles to match your UDIM set.
4. Now you need to change the Start value in the Node parameter to 1 because UDIMs start at 1001
5. Double check that your Digits is set to 3 because Octane disregards the first digit so it's only looking at 001, 002, 003 etc.
That should do it.
In the meantime, I will point to this video that ultimately was what got me to the solution.
https://youtu.be/vnYznjQXd8E