Just to clarify: you have your "On connect, always get" set to the "server" lookup method. You then connect to an IRC server through your proxy (by specifying the named address of the proxy in the proxy dialog in mIRC). Once connected, mIRC performs a /userhost on your nickname (which is the "server" lookup method) that returns the named address of the proxy, since that is what the IRC server sees as your originating address. When mIRC performs a DNS resolution on the proxy's named address, it should return the correct IP address since mIRC has just connected to that address.
If you /userhost yourself while connected to the server through your proxy, what does the server return as a reply?