Continuing the theme of the IRC protocol, control codes shouldn't be allowed in IRC nicknames either. Sounds to me like you're connecting to an IRC server that some (or most) people connect through via a Java client where such problems exist.
I very much doubt mIRC is going to integrate support for something that is virtually non existent and not only doesn't comply with the IRC protocol by a small technicality, but completely ignores/changes it.
Obviously, you can do what you wish with your IRCd/network, but at the same time, if you choose to be different from others in how your IRC server/network is run, you cannot expect everyone else to conform. It is beyond the practical control of mIRC as to whether nicknames appear coloured in everyone's nicklist.
Regards,
