The agents issue is not a Windows bug. It's not really a "bug" at all-- it is exactly what it is: a compatibility notification.
If you read the dialog it tells you there is a compatibility issue with mIRC regarding Agents support which Microsoft removed from Windows 7. The dialog is accurate, nothing buggy about it. It also tells you, IIRC, that you can install Agents manually to get back this functionality, though no longer supported by Microsoft.
Microsoft did nothing wrong here-- neither did mIRC-- it's simply a symptom of mIRC not yet being updated for Win7, which will happen soon.
Note again that this dialog goes away after you click ok the first time- making it simply a notification, and a very minor one.