Yes, I got the dreaded "A player is connecting." warning while sorting through my options just now. The odd thing is that I was offline (not connected to a server) at the time. I think I figured out how to reproduce the bug:

Launch a replay.
Play the replay until you get the "A player is connecting" message.
Close the replay and go into your options.
Sort through the options for a bit (it doesn't happen immediately for me).
Bam, everything is frozen while it waits for a non-existant player to connect.



Attached is a screenshot.

Thanks for finding the way to reproduce that - it should be easy to fix. I've added it to my bug sheet (and moved this thread to the bugs section).