The visualizer will appear at next start of winamp if you 'pause' before exit or if you simply just exit via main menu or alt/F4 during playback!
Caution : if you Exit during playback it will play from where you left off so don't be startled if your volume is loud, especially if you put on headphones!
(I guess many do not know that the player 'remembers' the last state AND yes, the enable@playback box must be checked, of course)