"Something to do with SHBG."
Winstrol doesn't do anything unusual with SHBG, it lowers it dose-dependently, like all AAS.
I doubt the claim that it was "common knowledge 'back in the day'" that Winstrol ever, ever, ever was associated with bloat. Not by anyone knowledgeable on these matters. You may just not have an eye for these body composition effects, or to be able to tease out cause and effect, which is OK.
You've never seen Winny bloat anyone, unless you are confusing bloat with muscle fullness and a dry look.