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I currently use a simple winsock solution (WSAStartup, socket, connect, send, recv, closesocket) for HTTP-requests to get a 32 byte response of our own server.
Is there a performance or security reason to switch to WinHTTP or another library?
Ease of use, thoroughly tested, feature-enrich, error checking, etc. The only security reason I can think of is if you do it yourself and you are not experienced enough you may leave yourself open to buffer overflows or other similar exploits. Depending on your ability a 3rd party library might be more efficient and therefore faster as well.
I would recommend using a 3rd party library unless you are confident enough in your own ability.