You can script this, and ultimately, you will need to anyway. As pointed out by drum, mIRC doesn't provide away status because the server doesn't either (not efficiently, anyway). You need to poll each individual user to get this data (or channel at best), and therefore this is not something you just get for free.
That said, a script can easily do this kind of polling and /cline the nick to the appropriate away colour determined by the script. I don't think it is mIRC's place to introduce complex server interactions like this, since there are many things at play (poll interval, custom commands on different ircds that might make this polling more efficient, etc.). Seems like something better left for a script.
