Solution - part 1
When I added the BEx query sheets, I don't remember whyand how but I added references to BExAnalyzer.xla. This reference shows in VBA Editor. I simply had to remove it and save the BEx file to the BEx repository. When the BEx workbook is executed from the BEx repository, it seem not to need this reference anymore. If someone can bring something to the table, feel free.
Here is the reference that keeps the BEx icons active.
Part 2 will contain the actual code to remove the BEx sheets, save the file and close BEx instance.