PCRE itself doesn't support these escape sequences. This is documented in PCRE's manual, more specifically in section DIFFERENCES FROM PERL:
Code:
     4. The following Perl escape sequences  are  not  supported:
     \l,  \u,  \L,  \U,  \P, \p, and \X. In fact these are imple-
     mented by Perl's general string-handling and are not part of
     its pattern matching engine. If any of these are encountered
     by PCRE, an error is generated.

However, from what I've seen, there are no 'substitute' facilities in PCRE itself (like Perl's s/re/sub/): $regsub() only uses PCRE for pattern matching and capturing. The substitutions, as well as the meaning of special chars and sequences in <subtext>, are handled by mirc itself. So I guess your report can be viewed as a feature suggestion; support for these escape sequences. In my opinion (and others scripters'), a more flexible solution for mirc would be the ability to pass \1 in <subtext> to mirc identifiers. This way you would be able to use $regsub(string,/\b(.)/g,$upper(\1),%var).