A "battery box" is simply a container for a battery - keeps stuff off of the terminals, keeps the battery enclosed, and to contain leaks (if it's plastic.)
I'd think the winch ground could be run through the chassis - provided:
- All wire connexions are of sufficient gage (ground should be at least as large as the supply.)
- Sufficient wire size is used for the supply lead (I won't throw out a size until I know the winch make & model - and therefore current requirement - anticipated kerb weight - approximately - length of lead needed, and anticipated duty cycle.)
- The contact patches with the chassis are cleaned down to BARE METAL and bright zinc, brass, bronze, or CRES bolts/nuts are used to attach (not black oxide) and corrosion inhibitor applied to prevent corrosion due to environment or galvanic action (proper electrical corrosion inhibitor is electrically conductive, and doesn't inhibit the connexion. Find it in the electrical section of your local hardware/DIY store - do not use anything else!)
- The winch power supply lead must be attached directly to the battery - I haven't found any distribution stuff that is rated strong enough to pass winch current consistently (we're talking up around 300-650A or so, for most winches. Some go up to 800A!)
It would be preferred to have a battery near the winch - shorter leads are better, and the charge lead carries rather less current - and therefore doesn't have requirements that are anywhere near as hairy - and you could have better luck if you were to mount a pack of 12V gel cells or something somewhere near the winch (something like a smallish Odyssey, or some G/A service batteries. Not cheap, but better all around.)