I think it's a known issue. I have tried the same thing you did.
It existed in F14 too. Here is one of the bug
F15. I've the Network Management Icon in the systray. Clicking
pops up a display showing on the left "Interfaces" and the right
In the Interfaces is my LAN interface. In the upper right is a small
red X. When I mouse over it, it displays "Disconnect". However,
clicking on it has no effect. I could not find any buy related to
it...but I've been known to be a notoriously bad searcher. :-(
Is this a known issue or some thing amiss at my end?