There are actually lots of posts here about this, but I will explain anyway. It's because those windows are not connected to the network, they are Direct CLIENT to CLIENT (DCC, of course). mIRC doesn't know, when a DCC window is connected, what server it was initiated from, if you're still connected, etc. So mIRC uses the nickname the person was using when they first requested the connection with you. It doesn't matter what their nickname is now, because the connection is already established.
