I had this problem, too. After disconnecting, the control banner remained and couldn't be unpinned or dismissed.
I got rid of it by opening Task Manager and, after making sure the "More details" button was selected, selecting the "Windows Shell Experience Host" process and clicking "End Task". The process status was then shown to be "Suspended". I don't know if anything else was affected--I didn't notice any problems--but the annoying control banner went away.