That's because the option is actually misnamed. It's currently named:
"Set as default for channel windows"
When it should be named:
"Set as default for new channel windows"
The reason is that mIRC stores on a per-channel basis what font you select. Thus changing the default does not mean "change all of the currently-existing windows' font to the one I just picked", it means "change the default font used for any channel for which you haven't set a font or haven't joined before". It's been like this for years.
