There are many "status" related messages that you're likely to miss if you don't check the status window. Some of them are important, some of them are not, and it very much depends on who's reading them. Some people don't care about +g, for instance, while others think a "DCC aborted" message warrants a blinking message with a buzzer sound. Rather than form an opinion about what messages matter to you, mIRC displays most status messages in the status window. It's your choice to pick out the important ones, or otherwise opt-in via a script.
If mIRC were to shove every message that was deemed "important" into the active window, you'd end up with important messages in random windows that end up being hard to track down, instead of one single location. Like I said, it might seem unintuitive and error prone, but that's what the status window is for: collecting your status messages. Most people should be checking it often enough, or at least when it highlights (you can disable ping/pong to improve the signal/noise ratio).
And again, if the behaviour doesn't suit you, script it.
