Let $X_n$ be a sequence of bounded random variable such that $$ \mathbb{E}\left[X_n\right]\to\mathbb{E}\left[X\right] $$ with $X$ a bounded random variable. Can I conclude that
$$ \mathbb{E}\left[X_n\,W\right]\to\mathbb{E}\left[X\,W\right] $$
for any bounded random variable $W$ ?
No.
Throw a fair coin and for every $n$ let $X_n=1$ if it lands on heads and $X_n=0$ otherwise.
Let $X=1$ if it lands on tails and $X=0$ otherwise.
Then let $W=X$ so that $X_nW=0$ and $XW=X$.