Will VOX music player change anything in my iTunes library?
From what I see using Vox, it does not create a library of its own, instead it either access the iTunes Library directly for information.

It should be a read-only access, and you have nothing to worry.

You should note that it's not iTunes integration, so it does not work with iTunes Match to provide tracks that aren't downloaded to your Mac yet.

If you have further concerns, I suggest you contact the developers of Vox directly.