Unclear about USB drive ejection: "don't unplug until finished"

I have had this in the past and found a solution that works for me.

The command sync will ensure everything is written to all attached disks.

You should not need sudo sync for this unless the disk has some log files owned by root for example that also need writing.

If the sync command ends with no errors I've found it is safe to remove the drive.

If the drive is already disappeared in the explorer it means it is already unmounted. Then you are safe to extract the drive whenever you want. If the warning message is still hanging around then that is a (minor) bug. Just forget it. If you want to double check, open a terminal and type "df -h" to see if it is still mounted. If I'm right it should not.