Update, I was there again yesterday when the purge started.
The thralls were almost immediately ‘eaten’ by the spider, but at that moment the purge window AND the icon on the map disappeared.
Maybe when nobody is there to witness the event, the game doesn’t realize it should delete the icon?
Not sure it is intended, but many purges spawn on top of bosses.
I’ve noticed this on single player. Leaving a vault seems to screw up the wild surges. The ones that were there before you entered vanish, but stay marked on the map.
In addition, that big portal in the sky that creates the wild surges also disappears. You have two options at that point. Wait until after the next maelstrom for it to show up again, which could be a while depending on the timing of your exit from the vault, or restart the game.