You can call it inconsistent but that doesn't really make it a bug in itself. There are tons of inconsistencies in mIRC, but done so knowingly, sometimes intentionally, for purpose. In this case, the reason it's not a bug is not incorrect implementation but rather the lack thereof. mIRC doesn't handle fkeys in dialog windows-- no one ever requested such a functionality (you should), so this can't be "fixed" without being implemented in the first place.
Anyway, technicalities aside, there are dlls that can do this easily for the time being. I wrote one called "
keyhook.dll" which allows you to make global hotkeys from mIRC. It took all of 10 minutes and I can post the source if you're interested because I noticed it isn't packaged with the DLL.
