The same here, with an iPAQ 2210 (aka 2215) and ActiveSync 3.71. I've "seen" these hidden windows before when running MC11 but never found a reason why they appeared. After reading this thread I inserted my iPAQ. Then the download progress dialog of MC11 appeared several times and the "Device Connected" field appeared, blinking. In the task switcher I could now see 4 instances of this WMDM window.
If I then click on "Handheld Player" all root directories on my iPAQ (e.g. the SD card) are displayed in the list (there are 4 of them which is the same number as that of the hidden WMDM windows that had been opened initially). If I click on one of these directories once again the "Downloading..." dialog appears shortly before the drop target for the clicked handheld player entry appears. And again one more of these invisible WMDM windows has been opened (I had closed them before with Alt-F4).
Connecting my iPod will also cause MC11 to open such an invisible window, but only one. I think this is intentional, but wouldn't it be possible to completely hide this device interface tool? It obviously has no user interface so it makes no sense to list it with the other running applications in the task manger and task switcher.