With the clear demise of 'classic' Winamp with the whole 'set the tone' & seemingly nft related crap the new lot are now going for, what was leaked still equates to what's gone to the new owners (which was one of my pre-sale tasks) so it's into the messy state of who has recourse against it being leaked.
As for the issue, I don't remember there being anything specific that is in place to make it intentionally block system closing unless it's taking too long &/or it's crashing. I don't have the Winamp core handling that aspect of the running process with the current preview build (& the beta builds barely let the Winamp core do anything with it being able to run without it with some missing features) so the best way to find out if it behaves would be to try it out as a portable install so it doesn't mess with your existing Winamp install.
-dro