Disconnect is present on RDP because you're effectively running a terminal services session to the desktop - so you get the option to disconnect the RDP session, which in turn drops that from the View client.
With a PCoIP session, you're logging into the actual console (hence you see the usual logoff restart and so on, but don't see disconnect).
As you say, you can use the Group Policy to remove and prevent access to Shutdown, restart, sleep and hibernate (For info - User configuration>Policies>Administrative Templates>Start Menu and Task Bar>Remove and prevent access to the Shutdown, restart etc etc) for a start. This will hide these items and force the user to disconnect from the session from the View client
You could try pinning a shortcut to the Start Menu for C:\Windows\System32\tsdiscon.exe - this is the Terminal Session Disconnect utility - this will trigger a disconnect of the running Windows session, but whether that will end the PCoIP session to the Horizon Client, I don't know. Might be fun to test though.