What if the user would then like to use mirc to handle the file after they downloaded it?
Lets say you have a connection that is occuring, and person a downloads a file from b. Well, now person a has a script that takes the file and moves it to a new directory (this is just an example, please spare me the options dialog). Well, if mirc were to download it witht he _'s, then change it back to a file name with th epossibility of multiple spaces, the user would then be unable to deal witht he file. They would not be able to handle the file anymore, becasue mirc would only see one space.
If its such an issue, do as I suggested. use on FileRcvd, and rename it.