I understand that this is different and not what you desire. I can only speculate to the reason. Maybe it was from customer complaints that "I don't want it to go to My Computer, I want it to go somewhere else!" and the solution to close the window was easier than building option dialogs (not to mention translating them for every language, region, and version) to pick and chose what happens when you pull it out.
In any case, since there is no changing it in the final released product of WIndows 7 (they won't go change a product after it's on-market), my best suggestion would be to simply go to another folder before you pull out your drive. Same effect, just different order.
Because I have nothing else I could possibly contribute to this conversation, I'm going to unfollow this post.