no, winamp doesn't do the same thing. Winamp plays the file through the diskwriter and places the output data in another sound file, which is smart to do only if the user wants to add a Winamp DSP.
It's generally faster to do with dbpowerAMP as you just need to right-click the file that needs to be converted in any Explorer window without interfering with Winamp's configuration disabling winamp as a 24/7 music player for a few seconds
. That's why a separate app is needed.