Can you clarify exactly what you consider to be a bug?
mIRC will cycle through each address in the DNS pool once before giving up -- this is considered a single connection attempt.
See
this thread.
Admittedly,
it would make sense for mIRC to stop trying to connect if the proxy address cannot be found, but I'm not sure if that is what you are implying to be the bug or if you're just confused by multiple "retry #1" appearing.
Edit: I've changed my mind about the stricken text above. I can imagine situations where you'd want mIRC to keep trying to connect until the proxy server becomes available again.