I also have a Microsoft Wireless Natural MultiMedia Keyboard. I've used the play/pause, stop, forward, and reverse buttons successfully with Winamp 2.8 for ages. I recently upgraded to Winamp 5 and found that the buttons stopped working.
I had already contacted MS tech support regarding a different matter with this keyboard and asked them if they knew of the problem. They were able to duplicate it and confirm that it's a Winamp bug, not a Microsoft keyboard problem.
So...can I please ask the dev team to add this to the long list of things to fix in the next version? Thank you so much!