Don't think Winuae will ever get that ability, but about the files being big and "All of these MPEG/AVI/WMV files... pointless waste of bandwidth.".. so what?. it's not your bandwidth and there are countless of sites out there with speedruns for snes, nes, xbox, pc, psx etc with files over 1gig.... it's a cool thing to be able to download recorded games.
This site has game recordings that takes over 2gig, I downloaded Contra for Ps2, it took 1.3gig.. wow, awesome game and that guy rules, not a second wasted.
Tons of Nes and other movies here, super known site with insane amount of recordings of every nes game: http://bisqwit.iki.fi/nesvideos/
Too bad you don't have the passion for recorded games.