DLLs exist to add support for things that mIRC does not. Dialog improvements have been suggested before at least a few times, and I'm sure they're somewhere on Khaled's list, but realize that mIRC is an IRC CLIENT, not a GUI development environment. Currently, Khaled has his hands full implementing features pertaining to the functioning of mIRC as an IRC client, so it's best to leave this extra functionality to third party scripts and DLLs until he has more time.
Also, as pointed out, many of the features provided by dlls like DCX are very specific to very few use cases. A benefit of allowing third party DLLs like DCX to exist is that they can focus on functionality that might not be needed by everyone, whereas Khaled must invest his time wisely into getting the most "bang for his buck", basically. There will always be a place for DLLs like DCX, and such DLLs will most likely always be ahead of mIRC in terms of functionality because of this fact.
