Welcome to the WA community. First thing, you will find that you will need to adapt your behavior to Winamp rather than trying to force it to adapt to you (even though WA and it's plug-ins are very adaptable). Much less frustrating that way. Don't compare it to anything else. WA has it's own 'personality'!
Plug-ins (add-ons) are the way features (beyond the basics) are added or removed. This allows users to have what is available without bogging down the app with stuff they don't want. Even many of the default features can be removed if you don't need or want them.
Artwork handling is what it is (changes come very slowly). Best to use 3rd party taggers to address your needs. The wav format does not support tags or artwork.
Skins are only adaptable up to a point. There are dozens. It will take awhile, but keep looking until you find one that meets most of your needs.
Use the forum's search feature. All of your issues and any available work-arounds have been discussed. Have you browsed thru the Winamp Preferences Guide?
Enjoy WA, don't let the little things get in the way. After all it has been around for 15 years, it must be doing something right.