It makes sense (given some configurations, you have to specify a password to start mIRC, maximise mIRC etc.) and a password-to-exit would hinder those evil people that hijack our computers (oft. called 'little brothers' :P).
However, people will have to resort to forcefully killing the application - which could cause all manner of hassles (no ON EXIT event for scripts, mirc.ini not updating properly). It might also furthur the uses of mIRC as a trojan platform - but pretty much any good feature has its downsides..
I don't think a script would be able to _fully_ prevent mIRC from closing without a password, this would have to be something coded into mIRC itself.