The Agent dialog was added in 5.71. From the help file:
" Note: The agent dialog will only be visible if agent is already installed on your system. If it isn't installed, you can find links to related websites and resources, as well as download information, on the mIRC website at http://www.mirc.co.uk/agents.html
So I don't think there is anything to worry about, it's probably just that MS Agent hasn't been installed.