My experience has been the opposite actually. (darn, Pri beat me to it, lol)
WinMX on primary somehow seems to use less cpu recources than on secondary on here (core2duo / 4GB ram with debian unstable).
There used to be some issues with winmx losing it's primaries over time some years ago but that hasn't been an issue since long before the release of the community patch.
I've had less issues with winmx under wine than under windows itself, so you can certainly run with whatever you like
Since we've got mostly japanese primaries on the wpn nowadays though I suggest you give running it on primary a try if you're on 24/7 with a reasonably stable connection.