Well, it seems to add one on your system, but not mine. I am running WS 9 on a Linux host (mint). I have had some problems with unity mode, in the past when I enabled compiz. The only "box" added to my screen is the unity menu thingie but it usually places itself in the upper left corner and disappears unless you select "always show menus". It can only be moved if you grab it near the bottom. Do you also have this window? (upper left corner, if it is hidden you have to hover up there)
If that is just some other gray window, I would suspect some conflict with your graphics card, but that is a pure guess.
The screen shot is my system in Unity mode, 2 monitors. A W7 VM is running in Unity mode.
Lou