Perhaps it might be of help setting this config option:
Perhaps internally Pro/E waits for something... as far as I know Pro/E connects automatically to the license server again if this option is set to 'yes'.
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I have a full async. J-Link application, it's not the same I know but I think the mechanism could be the same.
In normal case nothing happens when I disconnect my software manually, but if my Creo crashes or I get a failure in the connection something stuck inside the "communication pipe" (I know its only a port connection, but it's symbolic). So after that nothing happens anymore, no connections possible until restart both programs (Creo & my tool). I set the config option (like Andreas said) and it solves this problem.
You can set this config option automatically. So the window did not appear. The Window blocks the communication above the async channel and that can resolve in a "broken pipe" or in a blocked port or whatever. So since I set this config option (the window don't get shown when I set the config option, also if it whould be when I return to Creo) I don't have this problem at this location in program anymore.