I have never had that issue with any mIRC version. If I understand you correctly, when you right click the nicklist a menu pops up saying 'PrivateMsg' and then when you click out of that you get the menu you want?
If that's right, although it's very strange, I suggest you search for the word "PrivateMsg" in your nick list popups script editor. I know you said you're an old time user, so you probably know this, but for the safety's sake and to make sure I don't have to post again for no reason:
ALT+P > View > Nick List then click on 'Find Text'.
If it turns anything up, then that might eb causing the issues - delete whatever it is.
To check out what PastMaster suggested,
ALT+O > Mouse and then look next to 'Nick List' - by default it says '/query $$1' - don't quite see how this would affect you since you're not double-clicking as far as I see, but fingers crossed!
Hope you get it sorted

Regards,