You can change lsxcommand's text on the fly like so, for example:

xTrayOnAdd !CommandShowText "Icon Added"
*OnRun [Winamp][Winamp][!CommandShowText "Winamp Started"][]

You can click "through" labels if you define (LabelName)Ghosted True.

I agree that a Label would be better for outputing info, though, since it's more flexible for text display.