I did not have any "To Do" items so I created an empty one by clicking on the icon just as you did, which forced the appearance of the "To Do" icon under REMINDERS.
I then clicked on the "To Do" icon under REMINDERS & the empty to do item appeared on the right. Then I selected (highlighted) it & right clicked on it, bringing up the contextual menu, & selected "Delete" from it. The empty to do item was deleted but the the "To Do" icon under REMINDERS remained.
I then used "Erase deleted items..." from the gear at the bottom of the mailboxes list just to make sure it was gone but I'm not sure this is a necessary step.
I quit & relaunched Mail.app & the "To Do" icon under REMINDERS is now gone.