From I've read Winamp has ability to capture anything you type with keyboard. That's why security expert say it's dangerous software.I still use Winamp. I'm old school. I like the way it crossfades between tracks properly. Something WMP still fails to do properly.
For videos (AVI's, mp4's) I use WMP and for films and BluRay I use Emby.
I've never had an issue with keylogging in all the years I've used it. Plus, Windows 10 uses a keylogger. Am I worried ? No, not really.