I am unable to reproduce this bug at this time, but I've spotted these leftover pins enough times to feel the need to report it.
My system: Reaper v4.402/x64 on Dual-display Windows 7 x64 with latest critical updates.
The pin in the above screenshot happened to belong to the docker when detached from the main window. The gray background is the desktop. After re-opening the docker, the pin was "re-absorbed" by the docker and was no longer left floating around. I don't know if this only happens with the docker window or also with, say, the mixer and plugin windows, although I'm positive I've never seen more than 1 orphan pin at a time.
Whether this should be fixed is another question. I think the whole pinnable windows thing is not the best way to manage windows. As has been requested elsewhere on the forum, we need the sort of window hierarchy that Studio One sports, thus removing the need for pins:
(bottom) Main window < Mixer < MIDI editor < Plugins |Item properties | Prefs (... etc) < Exclusive focus windows (top-most)