The problem isn't in $did(), it's in the way you're storing what it's returning. mIRC variables will have spaces trimmed from the end of them so when you add a line to the %full variable which has a space on the end it's being stripped and it's as if the space never existed. The solution comes from the fact that spaces are not stripped fromt the beginning of a variable, so you must construct it in reverse. Use this code instead and you'll get the correct text:
Code:
on *:dialog:example:sclick:2:{
  var %i = $did($dname, 1).lines
  while %i { 
    echo -a $did($dname, 1, %i)
    var %full = $did($dname, 1, %i) $+ %full
    dec %i
  }
  echo -a Reconstructed: %full
}

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