Hi Warren,
I tried this with 5.0.07.0410 on Win7 and don't see any disconnect message box, not sure what causes this difference in behavior (I doubt that this changed between .0290 and .0410).
I tried
vpnclient connect user pwd
and
vpnclient connect user
(which will pop up a username/password prompt).
In both cases when I disconnect (using "vpnclient disconnect") I do not get any dialog box, just the message "Your VPN connection has been terminated" on the CLI.
Having said that, you may want to try adding the "notrayicon" option to the connect command (not the disconnect command!).
e.g.
vpnclient connect foo user jdoe pass h3ll0 notrayicon
hth
Herbert