It's only inconsistent, in the fact that secondary status windows can be closed, it's just the primary status window that can't be closed, and as that has been the case with all versions of mIRC, it is consistent with the known method of operation.
But there is no "primary" status window. You can close any status window as long as another is present. But if only one is present it's unclosable. I see no reason why it can't be closed since you could just go to the file menu a select "New Server Window" (which should be there regardless).
Why have an MDI interface if you can't close all the windows within it?
