Are there any security issues when communicating between applications on the same machine over sockets?
As long as you use the local loopback (localhost, or 127.x.x.x), the data never leaves the local machine, therefore there is no 'non physical' security issues.
The only thing I could see as an issue, is if an attack has local access to the machine that getting data off the network stack might be easier than getting it from your app.
If you really need same-machine communication on Windows, check out MSMQ, which works similarly, but doesn't require both apps to be on at all times, and creates individual app queues. It has the ability to be encrypted as well through some simple function calls, IIRC.
When you say "security issues" you need to define your Threat model
Who may harm you?
- Malware running within your PC
- Malicious users controlling your PC
- Malicious users over the network
What do you want to protect from?
- Malicious message sniffing
- Malicious message injection
- Malicious message modification / deletion
There are always security issues. The question is are they relevant to your specific domain.