That all depends on how your SATA drive is connected. They are supposed to be hot pluggable - i.e., removable. If it is connectdd to a mobo SATA port, and that in turn is teid to a RAID drive, then it becomes non-removable.
The tray icon shouldn't prompt you to do anything. In order to see what is on it, you have to take action by right clicking on it. That is not prompting - that is responding to your query.