I'm having this weird but harmless issue too, except this is in my MacBook. At times, I would see my iPod shuffle icon appear on my desktop with no reason and no, I don't have disk storage enabled. Then I try dragging that icon to the the trash (eject). The result is the icon disappears but if I go back to iTunes (was still running in background), the iPod shuffle is still visible.
I just got my iPod shuffle and to keep it short, it's very small, nice aluminum, the music sounded like it got upgraded from the first generation iPod shuffle, and everything went smoothly in installing and recognizing the shuffle on my MacBook.
White MacBook 2.0GHz Core 2 Duo Mac OS X (10.4.8) 2GB RAM, 120GB HD