I personally haven't done it for a winch, but I can answer a few of your questions.
1) Not really. It might marginally affect it, but not enough for you to ever notice.
2) I'd imagine you'd cut all the way through, but then again, I haven't done it. The grill is only what, 2" at the deepest? mabye 3"?
3) I'd use an angle grinder with a cutoff wheel. I've used it on a grill already, and it burned right through it, and I could clean it up real well with sandpaper.
![Thumbs Up :thumbs:](https://board.marlincrawler.com/Smileys/marlin/thumbs.gif)
4) Not very delicate. It won't be flopping around or flexing or anything, not anymore than it usually does. Just mae sure its mounted tight
![Thumbs Up :thumbs:](https://board.marlincrawler.com/Smileys/marlin/thumbs.gif)