I think i got an idea what causes this..
The problem seems to be on quite a low level
When you kill all AVG Antivirus processes in your TaskManager, that doesn't mean all AVG related components are stopped.
Wanna know what i'm talking about? Check your DeviceManager under NonPlug&PlayDevices. I'm not really educated on this one, but it seems the kernel-modules for AVG are always loaded, regardless of the fact that all AVG related processes in TaskManager are gone.
So i'm thinking the AVG kernel modules do some sort of file checking (to facilitate on open / on close file scanning) even if all normal AVG processes have been killed.
That's why, with all the resident scanning options turned off, the WinAmp slow proces close and slow Preferences close doesn't happen, and why it DOES happen when you leave all resident options on, but kill all visible AVG processes...