Hmm, I checked this locally and on the test server and I got the disconnect dialog as you would expect. When have you seen this (incorrect) behaviour?
I've experienced this a few days ago, likely around Wed past week? My router lost connection to the internet (the DSL signal was dead), but the Steam Client didn't fire any dialog. I'll also mention I had to restart the router for my connectivity to come back, though I'm not sure that kind of info is relevant.
