I encountered the same problem and figured out the reason:
When moving the PGP-Disk Container File to another NTFS volume, the security settings of this particular file will be replaced by the security settings of the new NTFS drive that the PGP-Disk is located on.
By default, new NTFS hard drives have their security settings set to (this applies to Windows 7): Users can only read data, Administrator can modify it. Which means, if you mount your PGP-Disk from such an NTFS hard drive, the PGP drive will be read-only.
However, PGP didn't seem to recognize properly that the file was read-only (probably because the PGP version was too old to work well with Windows 7), instead it treated it like a writable PGP volume, but when you try to dismount it, the NTFS driver wants to write something on the PGP disk and thus the error message appears. When using FAT32 PGP disks, the dismount doesn't require writing data to the PGP disk, so the dismount will work.