Yeah i found this by accident.. when you shift+click in the switchbar, the whole block goes away, so if you have:
server | channel | channel | dcc | dcc
and shift+click on "server" .. everything in that block including dccs goes away right? kinda.. you cannot see the dccs in the switchbar any longer, but they continue to download..
of course they would continue to download. the question is why SHOULD they continue to download? if you cant see them on the switchbar, it would make sense that mirc should close the sockets..
Then when you can't see the channels should mIRC leave them? The point is to hide the windows, nothing else.
Regardless, it's a matter of opinion, and should be put in the feature suggestions forum. Nowhere does it say that mIRC is meant to close the connections so it can't be called a bug when it doesn't.
Edit: I just tried it, and for me the download window doesn't dissapear. Edit2: Maybe it needs to be 2 dccs? *checking* Edit3: Tried it with two, neither dissapeared. The DCCs just get stuck on the end.