Airemus: I still click on the MQ2Win to type my commands. However, most will tell you that MQ2 will intercept MQ2 commands to keep them from the servers. 10+ years ago, that was not the case and we were careful not to send a MQ2 command thru the servers.
The reason I still type my commands in the MQ2Win is if you type a typo thereby issuing a command that MQ2 doesn't recognize and therefore doesn't intercept, and you see the "That is not a valid command" msg, then I still suspect it was sent to the server... so it might as well have been done in the MQ2Win to avoid the roundtrip.
I use MQ2 commands in hotkeys/socials all the time, as do most. I usually type them first in a text editor to sniff out any typos. Sometimes I even C & P them into MQ2Win to test before enlisting them in a hotkey.
The short(er) answer is, commands are safe in hotkeys/socials.