Except for the fact that Nullsoft would have to write a flash interpreter plug-in for Winamp and that would most likely mean they would have to license it from Macromedia, which cost money. Using BMP and PNG is free.
Second rendering a flash animation is processor intensive and also loading the flash reader would also take up a decent amount of memory. This distracts from Winamp's claim to fame of being small and fast.
Also for the most part Winamp 2.X is doesn't, doesn't expect anything major to come from it.
But all hope is not lost because we now have Winamp3. Winamp3 currently uses PNG graphics for their skins from which pngload.wac is used to read the PNG files. In theory you could create an swfread.wac and make a skin a mix if Shockwave, XML, and the standard MAKI scripting. Though a vector based graphics format would be nice for a skin I am not sure if SWF would be the best choice. Also, I am not 100% sure if a graphics loader can be written to use a vector based format for skinning, but it might be able to.