You must also first connect to an IRC server, then try and change the IP. Other than that, those are exactly the same steps I'm doing.
Make sure there is already something filled in, though, like 127.0.0.1, then connect to an IRC server (I'm using TLS but this should not matter) and then try to change it to for example 127.0.0.2 and press OK. If you then open the options dialog again it should still say 127.0.0.1 instead of the new 127.0.0.2 address.
1) Start mIRC
2) Go check Options->Connect->Local settings to see that there is already an IP filled in, for example 127.0.0.1 and click Cancel to back out of it.
3) Connect to an IRC server (I'm using TLS although this shouldn't matter)
4) Go to Options->Connect->Local and change the IP to 127.0.0.2 and click OK
5) Go check the options again and you should see that the old IP 127.0.0.1 is still there instead of the newly entered IP 127.0.0.2