This is an old and known issue for proxying. It's known as "DNS leak". mIRC does not support tunneling DNS requests through SOCKS proxies (or any proxies that I'm aware of). This wouldn't be a "bug", since the lack of support is by design (I vaguely recall a discussion about this in a forum thread, but I could be wrong). The option would have to be explicitly supported through a separate configuration (checkbox), since not all SOCKS proxies even support tunneling DNS requests, and not all users want their DNS requests tunneled.

You can make a feature request to add this support to mIRC, but it is not *supposed* to work in 7.19.

A workaround would be to DNS hosts prior to using the socks proxy in mIRC.