I think you're just confused by the fact that the network is sending messages to your IRC client in both cases: if someone parts a common channel, and if someone changes his nick in a common channel.

Now these two events are different not only by name:
If someone parts a channel, the IRC network will inform all the users of this specific channel about it (including you). The message send to the users includes the channel as a parameter. You simply cannot have a part without this location parameter. Now mIRC will process this "raw" message like all other IRC clients do (it will remove the user from the nicklist, it will display a default part info etc). And it uses this message and it's parameters to create the "event" you use in scripts.
On the other hand side you can change your nick without being on any channel, the network will send a message to you to confirm the nickchange none the less (only then your nick has "changed"). You didn't change the nick anywhere specific, but an "event" occured and you can script with it. And if you have one or multiple common channels with some user who changes his nickname, the network will of course send a message to inform you about this. But you get only one message. It's this "raw" message again that mIRC will processes an of which it creates the "event". The raw message has no location parameter, consequently the event hase none.

Please try to understand that some events have a specific location (you'll always message/kick/ban/part/... somewhere) while other actions are "global" for the network (you can only quit the whole connection, and you change your nick for the whole connection). If something happens on the whole connection, it cannot have a location, right? For "global" events, it's up to you (your script) to relate it to some specific channel / all common channels / no channel at all ... or completely different things ...