Construct 2 supports exporting Windows EXEs via Awesomium in the latest releases, although support is experimental and we're working out a couple of performance issues. It should ultimately be as good as running your game in Chrome though (which is pretty much the fastest and best supported browser).
Despite the fact Construct 2 has a HTML5 based engine, it actually has some fairly decent tools for working with data client-side. See Using project files in Construct 2. If you know how to set up a server you can also use the AJAX object to send and receive stuff to your server.
I've no idea where you read HTML5 is insecure - have you got any links? I am confident it is perfectly secure, and modern browsers have a pretty good security record too, and issue updates rapidly if any problems are found.
Construct 2 automatically generates spritesheets on export. There are also tools to import sprite sheets in to the Construct 2 editor.
Hope that helps answer some of your concerns!