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In a few situations I've gone to disband a ship stack while a war is on, and no matter what the state of the port where I dock it, I receive the dialog box informing me that the stack is in dangerous territory and so only some of the ships will be able to return home.

I have a save file which demonstrates this bug, but unfortunately I can't upload it because I've already got another bugged save file uploaded and this second one puts me over the limit. Let me know if you want to see it, and when there's enough space I'll pass it along.

The behaviour to reproduce it with the file is as follows:

1) Having declared war and used the ships to transport men, then ships are docked at any friendly port. Men were loaded from land as piecemeal units onto the stack while it was in a sea zone, rather than using the embark button. Unfortunately I do not recall if the men were offloaded from sea or by docking the ships in an owned province being attacked by enemy troops (my first suspicion being that a flag is being set in the latter situation).
2) The war is still ongoing, but the ship stack is not in a province with any enemy troops.
3) Attempting to disband the ship stack produces the erroneous dialog stating that the ships are in an unsafe province and so some ships will be lost. Actually going through with it does apply the penalty.
4) Moving the ships to any other port does not stop the bug from occurring.

If you're working with the file I'll upload, the stack of 67 ships docked in Småland is demonstrating this bug. Other stacks can be docked and safely disbanded, however.
 
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I think you get this warning if the home port for some of the ships in your fleet has enemy troops present so the message is telling you that those ships cannot get home safely.
 
I think you get this warning if the home port for some of the ships in your fleet has enemy troops present so the message is telling you that those ships cannot get home safely.

That's a sufficiently intriguing theory that I checked -- there's no enemy troops on any of my provinces. However, this inspired me to start subdividing the unit and I came up with another clue. It's three particular substacks of ships all from the province of Akershus causing the problem. At other times I've noticed that there's a "phantom fleet" of Norwegians consisting of zero ships in that province, which is relatively recently conquered: it can only be seen when ships of mine dock in Akershus, at which point hovering over them shows them mentioned in the tooltip.

So in a sense you're right. There are enemy forces preventing them from going home, but in reality there actually aren't. So still definitely a bug.