I had to go ahead and fix it. It involves basically what I referred to in the first post:
1.) Buy the OpenNETCF source code (I got it for $50). This solution assumes version 2.2.
2.) In ConnMgr.cs of OpenNETCF.Net, add the following line to the declarations section at the top:
private const int CONNMGR_FLAG_NO_ERROR_MSGS = 0x40;
3.) Also in ConnMgr.cs, add that flag to the Connect(Guid, bool, ConnectionMode) function where it sets dwFlags, like so:
connInfo.dwFlags = CONNMGR_FLAG_NO_ERROR_MSGS;
(this assumes dwFlags is currently set to 0; if there is another flag already there, then append "| CONNMGR_FLAG_NO_ERROR_MSGS;" to it.
Compile it and reference this new OpenNETCF lib, it will not fire error notifications anymore. This doesn't stop the "Connect to" notifications, though, which have a "Cancel" option. That's bothersome, for me, because the users I'm developing this app for would be just the ones to hit that cancel button and wonder why it wasn't connecting. ;) To suppress this notification bubble, go into the device's HKEY_CURRENT_USER\ControlPanel\Notifications key and find the Guid that has (Default) set to "Connection established."
In that key, change the Options from 8 to 0.