Usually I listen to music from a network stream with Winamp and VLC. Both these have a problem, they cache specified length of music, play it, then cache again. If your network connection was not fast enough this type of caching makes your listening experience horrible, laggy. Is there any app that cache the stream while playing the cached stream?
I have found nothing that proves or disproves your assumption that VLC and Winamp don't buffer while playing. But I'm very curious about this behavior. Normally every application buffers while playing.
I disabled all other applications, started the radio and observed it for quite a while and it was constantly downloading data (=buffering) while it was playing.
But my guess is that your Internet connection is to slow or your chosen radio stream is too slow.