If you are using a connection type which QGC can autoconnect to and you only ever connect to a single vehicle at a time there is really no need to ever manually or connect or disconnect. It just works by itself saving you useless steps of clicking.
If you turn the vehicle off, QGC will tell you communication was lost and give you a disconnect button. If you just pull the usb on say a SiK Radio it will just disconnect automatically.
The reason it tells you there are still active connections to a vehicle is to prevent you from accidentally closing QGC while say you are in the middle of a flight.