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.