It shouldn't matter which side closes the connection. Though the handshake on close is somewhat different depending on the side that starts the close, the connection should go away on the unix side within a minute or two when closed via the X box in dejawint (it goes away immediately when the close is initiated from the Unix side. The difference is because of logic of the 3 way close handshake in the TCP protocol).
There are a couple of possibilities here.
1) You are using an unsupported 16 bit product. Newer versions of windows have less than perfect 16 bit support.
You could try the PLUS trialware on our ftp site to see if you problem is because of the 16 bit version
2) The AIX box isn't up to date and isn't doing the close properly.
You could check for updates to your AIX box. If you have version 4.3.3 or newer it's pretty straigtforward to get fixes for it online.