Following the burgeoning interest in unmanned aerial vehicles (UAVs) utilization within human-inhabited spaces, critical challenges arise in ensuring reliable, low-latency communication-particularly important given the safety-critical nature of such operations in densely populated urban environments. Therefore, adequate cellular communication capabilities are essential to enable safe and effective operations within the so-called U-Spaces. In this context, this paper investigates the communication performance of cellular-connected UAVs in dense urban environments. In particular, the analysis is based on a comprehensive measurement campaign conducted in the city of Benidorm, Spain-an urban area well known for its high concentration of tall buildings and overall urban density. More specifically, we evaluated key performance indicators (KPIs) related to received signal strength and quality, data rate, and latency across various altitudes, mobile network operators, access technologies, and frequency bands, using multiple types of measurement equipment. The results highlight significant challenges, primarily due to the lack of dedicated planning for aerial coverage and interference management, revealing that current cellular networks may fall short in supporting reliable and ubiquitous UAVs communication. Thus, this paper calls for improved network solutions to ensure the reliability of UAV operations in urban airspace, thereby contributing to the integration of UAVs into urban logistics and mobility.