Rumors. The official definition is "a story or statement in general circulation without confirmation or certainty as to facts" (source) and they are quite common to anything that exists - movies, common folks, TV shows, politicians, etc. and Winx Club is not immune to it in any way. Below I listed some relevant rumors and debunked them to the best of my ability. If you object to one of my debunks, leave a comment, but try not to start a fight.
"The Season 5 transformation is '____'"
On the mermaid transformation ("Mermaidix"): The transformation does exist, but only in the Italian book called Sirene, set during Season 3. Scans can be found here. It is not likely that it will be used in the show.
On the fanart pictures by TaTa: See here. They're just fanart. Nothing more, nothing less.
On Gemix: See here.
On every other fan name: Rainbow has yet to confirm anything about Season 5, and that includes the transformation. Don't believe anything until you hear it from Rainbow and/or Nickelodeon.
Tecna's last name is Chandler, etc.
As of Season 4, no character has revealed a last name with the exception of Mike and Vanessa in a book by 4Kids entitled "Secret Powers", where it is revealed to be "Peters". The book is not canon to any dub aside from 4Kids, and even then it may not be valid.
Phoebe's note: I was the one who made up the last name Chandler for a fanfiction I was writing. The surnames Brandt, Sinclair, Valdez, Contee, Chandler, and Kimura are all Phoebe-made.
Roxy is a Winx and there's proof of it.
I would very much like to see that proof. As far as I have seen, there is none.The "Roxy is a Winx" rumors is nothing more than baseless hope.
Roxy will play a part in the second movie.
It has been confirmed that she isn't even mentioned, let alone seen.
Tecna is the princess of Zenith.
Only in the comics. The comics are not canon to the TV show, unless you want to debate that Stella is from Domino and Bloom earned her Winx in Episode 2.
Musa is the princess of Melody.
Never in the original dub is she called a princess. "Melody" strictly refers to the original dub. In the 4kids dub, she is royalty only by blood. As her royal father left the throne, she is not truly a princess and will never run a realm (unless she marries a prince, of course).
The Season 5 villain will be Devilrus.
The Winx girls will become pregnant yadda yadda yadda...
Winx Club is aimed at a fairly young audience. It is very unlikely that pregnancy will ever be mentioned.
Tecna will die because Rainbow thinks she isn't popular enough.
Rainbow is not dumb enough to kill off a main character. Now, before someone brings up Nabu, he was never a main character and we cannot truly prove that he is dead (see here). The target audience for the show is meant to identify with the main characters and it is highly unlikely that any of them will ever be killed off.
While not a rumor, I would like to clarify that the winner of the contest has been chosen, but that Phoebe and Kiku would like to finish their collaboration story based on the winner's character before announcing the winner of the contest. As Phoebe has been busy lately, her portion of the story took longer to complete. You can probably expect the announcement soon, by the end of the year at the latest.