The reason the close box is there is that Windows does not allow an application to remove or hide it. It's possible to disable it but I actually found that more disconcerting. Users rarely if ever see disabled close boxes, let alone ones constantly visible throughout the use of an application. So I opted to let it be visible and enabled.
I can't assign a non-close behaviour to it since that would make it inconsistent with all other status windows.
As for closing the last status window, mIRC is not usable without a status window. I'm not sure it would make sense for mIRC to occasionally pop up a new status window by itself whenever a script tried to display text, or there was an error message. That would probably be more disconcerting. And discarding such messages probably wouldn't make sense. In addition, there's probably nothing more disconcerting to a new user than closing the status window by mistake and finding themselves looking at an empty mIRC window. So I opted to prevent a user from closing the last status window.
It's not an ideal situation but... quite a lot of thought went into dealing with this one little close button :-)
