Hm. I noticed weird thing. Lagging happens only if window (channel or/and status) doesn't have pop-up/ballon description hint, like this one:
http://img233.imageshack.us/my.php?image=laggingdesc.png

So, if I will move mouse cursor to the window with such balloon hint and start typing - everything seems to be fine (mouse cursor disappears in this case), but if I will move cursor to the window without hint (yeh, still keep typing at the same moment) - lagging happens and mouse cursor doesn't disappear.

Odd things is odd.
Tried to play with some mIRC/Windows related settings but no luck.

"Do, or do not. There is no 'try'." - Yoda ('The Empire Strikes Back')