When I am talking to people on mIRC through a private message window, sometimes I get annoyed when I respond and it says something like "no such nick/channel". It would be pretty useful if it tells you in the window that someone has changed their nick or has disconnected

A changed nick should not affect a PM unless you're not in any common channels when the nick is changed. And if you're not in any common channels, there is no reason the server would tell you that the nick was changed, so mIRC can't display that for you.

As far as disconnecting... having it check all open PMs when someone disconnects from a channel you're in would not be a bad thing. But if they aren't in any common channels and they disconnect, then just like above, mIRC can't tell you they disconnected until you try to send a message.

ah i understand now. that clears some things up for me

This will echo into pm the window, if youre on a common channel with a nickname, and they quit.

You could write a script to utilize the notify/watch feature in order to know when a user you have a pm with quits or changes nicks (although the notice from the server wont tell you which, or the new nick in the latter case)