Two possibilities occur to me off the top of my head. The first is that the directory /var/run/freeradius doesn't exist or the user doesn't have permission to write in that directory. Did you install from a package or source? What is the result of
ls /var/run/freeradius/ and what user are you running freradius as? If you installed from a package the directory should have been setup for you. If not you may need to create the /var/run/freeradius directory and give it the proper permissions using
chmod. Look at the man pages for them.
The other possibility is that the Socket is getting created as root and then privleges are dropped. In that case you may need to make the umask for the freeraduis daemon 002 and /var/run/freeradius directory sgid to the group user for freeradius. These changes would need to be done in the script that starts freeradius. See the manpages for umask and chmod for more information about this.
If you installed the package from the Ubuntu repository both issues should have been handled. If you didn't you may want to consider installing the package using apt-get or aptitude. If you aren't sure which package to install use apt-cache to find out.
apt-cache search freeradius should tell which packages for freeradius are available.
apt-get -s install package tells you what will be installed and
apt-get install package actually the packages.