Well, if nokia didn't implement anything to disable these boxes we can edit
usr/lib/librtcom-call-ui.so.0
and replace all com.nokia.csd.SS.USSD substrings with something like com.nokia.csd.SS.DSSU, this will break USSD support in 1.2, but we will not receive this annoying box any more. Next step would be add a small daemon, which would listen for com.nokia.csd.SS.USSD signals and emit com.nokia.csd.SS.DSSU signals only when we want it to do. This would fix nokia USSD implementation.
P.S. I hope, that there is a normal way to solve this issue.